Hi and welcome to the forums.
Have you watched the Instructional Videos at
https://xim.tech/instructional-videos/ ? At a bare minimum, view the Quick Start Guide, it may answer your questions.
There are many reasons why your XIM may not be working.
The first thing to do is ensure you are using a genuine Xbox One controller and that the USB cable from your controller to XIM Apex is functional. If it's a Charge-and-Play cable, it won't work because the cable has no data lines. Please try a different USB cable.
It's also a good idea to remove the XB1 controller battery to reduce the risk of power drain, which can cause XIM disconnects.
Another quick thing you can try is power-cycling your console. Follow the "Disconnect and reconnect.." instructions at
https://support.xbox.com/en-AU/xbox-one/console/power-cycle-console.
There are other possible causes and XIM staff will help you to troubleshoot your setup, but this should be enough to get you started.