First, check to see if there is an updated driver for the BCF2000 from Behringer. If not, try manually installing the Vista driver.
If the BCF2000 is showing up as an AUDIO DEVICE under the device manager, it won't work.
Example:
Using my Korg nano-series controllers, they show up as a MIDI device under the device manager and work just fine.
My Novation Launchpad also installs as a MIDI device and works just fine.
My Akai LPK25 keyboard installs as an audio device, and fails with MyDMX.
My MIDISPORT 2X2(orignal), with the drivers installed, shows up as a MIDI device, allowing non-USB-type devices(true MIDI) to be used with MyDMX. My test device is a JLCooper CS102 control surface.
My MIDISPORT 2X2 Anniversary Edition, with or without drivers(claims to be class compliant) shows up as an audio device, and hence, won't work with MyDMX.
At all times, all devices passed my tests with MIDIOX.
It's most likely a driver issue.