The "Learn" function is described on page 13 of the Behringer manual.
Below is a decent YouTube video. The synth is a JU-1, but the procedures shouldn't be too different for a D-50.
Note that you will need 2 MIDI cables. This is not explained clearly in the video.
D-50 MIDI Out ---> BCR2000 MIDI In
BCR2000 MIDI Out ---> D-50 MIDI In
http://www.youtube.com/watch?v=t6oRQ0L0ORA
You should start a new topic for your question concerning the JX-3P and PG-200. That will do a better job at attracting the attention of JX-3P users.