If a device is connected over USB normally H9 Control will just auto connect to it.  The only case where you'd need to manually connect to it would be if it appeared as a MIDI device with a name we weren't expecting it to have and that almost certainly isn't the case for you.  That only seems to happen on Windows XP.

By the way H9 Control isn't auto-reconnecting properly to devices that are manually connected this way when it's closed and reopened.  That should be fixed in the next release though which should come out later this week.