If you want to use the XR with your computer i would suggest that you use a USB connection.
I found a big difference in the tightness of the timing when i compared the USB connection to a regular MIDI connection with the XR.
Depending on your host sequencer you will need to establish the connection by setting up a multiinstrument that talks to the USB port (f.e. in Logic)
Since the display in the XR is a pain to use i would also recommend that you install the editor that comes with the XR and use that alongside with your sequencer for dialing up sounds and assigning them to the different midichannels etc.