when I look under Preferences I don't see where it says devices
You are correct. You were told to "Go to Preferences: Devices:", but in the main Logic menu, when you look under Preferences, there is no menu item called Devices.
In Logic, you need to select this menu: Logic Pro > Preferences > Audio. This will open the window you need. It looks something like this:
I highlighted the menus you need to find. That's where you select your M-Audio device.
There might be some other things you need to do, but let's start with this. Let us know how you make out.