Refer to the XDJ-RX manual page 31.
http://docs.pioneerdj.com/Manuals/XDJ_RX_DRI1257_manual/?_ga=1.49056544.788956201.1455871543
You need to set the XDJ-RX with below step, if you use XDJ-RX with MIDI mode.
Press the [BROWSE] button, and then [MIDI] button. Press the [LOAD] button.