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If you want to use the rekordbox button and link the player to the software, you have to be in EXPORT mode and connected via ethernet only. You then press the LINK button at the bottom left and connect the RX. If it's not connecting, you may need to follow the instructions in the read-me guide first.
If you want to use the XDJ-RX as a controller for rekordbox in PERFORMANCE mode, you connect the RX via USB cable only, and press the MIDI button. Be sure to have the drivers installed before the RX is connected.