Quick Answer:

If both lights come on then your X-keys device is in Memory Resident Mode and is searching for a programming driver. Check the Further Reading section below for more information.

Further Details:

Why both LEDs are on:

If both the red and the green layer indicator LEDs are on, your X-keys device is signaling that it is operating in Memory Resident mode and that it is looking for a programming driver.

How to get your device to work with the MacroWorks II software:

To get your X-keys device to operate with the MacroWorks II software you first need to switch it back to SPLAT Mode. For instructions on how to do this please check the following KnowledgeBase article: How do I convert my X-keys device to SPLAT Mode?