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@Stuart > NEVER connect two hosts together by a male-to-male USB cable! You are likely to fry one of the control boards as they are both providing 5V DC down the line, and they are not meant to be connected that way. In none of our product manuals does it describe or show the XDJ-RX being connected in that manner.
If you're wanting to record vinyl into rekordbox, you'll need to connect the turntable to the phono input on the XDJ-RX, connect the USB-B (that "D" shaped connector on the back of the unit) to the computer, and be sure you have installed the drivers for your operating system. Within rekordbox, configure the XDJ-RX as the audio device for playback and recording, and then you can record the input from the RX to rekordbox.