Most people simply use a USB to Midi interface connected from their PC like this:
I believe a standard cable is the EDIROL UM-1X USB-MIDI Interface. Everyone sells it...
Be sure the USB and midi connectors are hooked up when you start REW, so its recognized.
My understanding is that the usb/midi cable is marked IN and OUT, so the Midi OUT on the cable would connect to the BFD Midi IN and the opposite for the other.
brucek