1) You've got to have the right cable or it won't work. Get a 25 pin 1-1 (straight thru) cable, sometimes referred to as a switchbox cable.
2) Try using either vgs-2000 or ucon64. Thoses are the ones I've tried and I know work. Ucon64 will handle some dumps that vgs-2000 won't but vgs-2000 has more features and a better UI.
3) Connect the cable, turn on the DX2, fire up the program and transfer an image.