What are you using to record drums with? Have you checked your routing for your midi track to make sure that that track can receive midi and that BFD2 VST is on that track? Are you seeing the midi notes being recorded on the track and after you press stop they disappear? If that last question is the case then I have no idea what's going on. I've used BFD starting on Cubase SX 2 and never have had that happen.
This is relatively simple. You have to set input routing to "Midi Out" from BFD2. It is a choice when you click on input routing. You can shut off the output routing if you wish. You need to select this in the Midi channel for BFD2.