In Accounts there is a wizard that walks you through it and waits until it confirms it worked. This is the summary in case you prefer doing it yourself.
1Download the file for your platform: .mq5 for MT5, .mq4 for MT4.
2In MetaTrader: File → Open Data Folder → Experts folder.
3Open MetaEditor (F4), open the file and click Compile (F7).
4Navigator → Expert Advisors → drag Onyx onto any chart.
5Paste your API key and leave the server URL as it comes.
6Tools → Options → Expert Advisors → allow the Onyx URL.
7Turn on AlgoTrading. Within seconds the chart panel will say "Connected".
An EA only works with MetaTrader open and connected. If you shut down your computer, it stops recording and stops protecting. If you trade seriously, consider a VPS.