This short bit from Ableton's Learn Live series covers the basics of MIDI Polyphonic Expression (MPE) and how to get it running in Live. MPE is an extension of the standard MIDI protocol that assigns each note its own MIDI channel, allowing an MPE controller to send independent pitch, pressure, and slide data per note rather than across the whole instrument.
On the setup side, it's a quick process: connect your MPE controller, open Live's Preferences, go to the Link Tempo MIDI tab, and enable the MPE checkbox for your controller's MIDI port. That's all it takes to have Live recognize and respond to per-note expression data.