IIRC there isn't much set up of the unit to do other than switch it to the Sonar Mackie Mode. If the BCF drivers are recognised in MIDI--->Devices it should (in theory at least) work.
You should see 3 different drivers if connected correctly. The reason I mentioned different drivers is that Behringer have some available from their site and Windows 7 also has a different set.
Again IIRC one set works the other doesn't but can't for the life of me remember which ones, sorry.
If the drivers are recognised are you using the MackieControl (not the XT) option when connecting in the control surface dialgoue?
Just to stress again I suspect (know) it'll be the drivers causing the issue. I've been through this more than once attaching the BCF, annoying but well worth the frustration when you do get it running.
In ACT mode, which is how I now use mine, there's no motorised faders and apart from the knobs, faders, and buttons under the knobs not much else will work.
The Mackie mode is the way to go, I only use it in the other mode as I already have a Mackie and XT attached.
If you do want to try the different drivers as well as uninstalling the unit you need to uninstall the Behringer drivers using the Windows--->Control Panel--->Programs uninstall.
Once you've done that attaching the unit will then force Windows to use its own drivers which may make a difference or not. Hopefully another BCF user will jump in with some help but when I'm back in the studio later I'll have a look and see if I can work out what set mine is using.