Start with simple.
I have a JV 1010 and it is very similar.
1. Set the dial to GM.
2. Plug in the headphones.
3. Turn the dial to the right of the LED numbers to 001.
4. Press the Volume button in, you should hear the piano patch.
5. Turn the dial to 025, push Volume, you should hear nylon guitar.

Next play a midi file (not from band in a box). You should hear it through the Roland unit if not go to windows setup audio midi and choose the usb device to ensure that your output is going to to the right place. Try midi again.

If it works outside of band in a box it will work with band in a box.

I'd have to pull out my manual to figure out how to use patch, but I don't use it. Often when using standard midi cables it is common to misunderstand them and put them in backwards if your wind controller has a standard midi cable to the Roland, then plug it in and try and and if it doesn't work start by switching the midi cable to check other possible methods, ie plug midi out in the wind controller to midi in on the roland or just keep the earphones on and try it.

There are lots of wind controller players hanging out here, I'm sure you can get some help on that issue from them.

John Conley
Musica est vita