I don't want to take away from Ravensc's deliciously genious workaround, I think it may be a bit overkill for OP's needs.
turiel wrote:I want to control LED lights with its keys
I think you may be expecting that Resolume somehow translates Midi to DMX, and you would use that to control your LED fixtures. That's not the case.
Resolume is video software, so it translates pixels to DMX. So in order to turn an RGB fixture to red, you would need to play a video with red in it and tell the fixture to follow its color ( you can read all about how to do that here:
https://resolume.com/manual/en/r5/dmx_output ).
So in order to change colors via midi, you would have different colored clips that you can trigger via midi, and the fixture follows this.
Maybe I'm thoroughly misunderstanding what you want. In that case, could you please elaborate what 'I want to control LED lights' means to you?