To set up the Behringer U-phoria UM2 with PowerTracks Pro Audio on Windows, you'll first need to install the necessary drivers and software for the UM2. Once that is done, you can connect the UM2 to your computer using a USB cable and configure the audio settings within PowerTracks Pro Audio to recognize the UM2 as the input/output device. You may need to consult the UM2's user manual for specific instructions on its setup process.