To connect to it, run the program and it should pop up a window for a new connection. Click the "Serial" radial button and choose the com port that is for the SX.
Go to "Setup"->"Terminal..." and you should get a screen to pop up that looks like the attached screenshot (Terminal Settings). Make sure the "New-line" section matches that screenshot.
Click OK then go to "Setup"->"Serial Port..." and match the settings in the other screenshot (Serial Settings). It should match this exactly with the exception of the COM port. That should read the port that you are currently connected to.
Once you've done that, send ATZ to reset the tool and to verify communication followed by the following commands:
Those should cause it to sleep in most conditions after 10 minutes. If you want to change that, change the number on the STSLUIT command. That number is time in seconds.