1. Connect HD2500 to PC
2. Switch to MIDI Mode
3. Open VDJ 5 and select "General Midi" (if it works, there's a green outline around "General Midi")
4. Map the buttons
5. That was it
Hank has it nailed... but also make sure the firmware is updated in the HD2500
Goto www.denondj.com find the 2500 then download the firmware update... the readme will explain how to check your version and step you through updating it.
Also you'll need to install Demon's ASIO drivers also found on the Denon site.
If you have the latest version of VDJ your controller is plug and play. Once you have installed the proper drivers for the denon (asio/midi) start VDJ and it will see your controller.