www.go-gddq.com/down/2011-12/11120306392857.pdf

In this manual you'll find anything.
page 8 is, how you must connect Step=CW and Dir=CC
If I understand it right, free must be open or L if the motor should run.
If you have problems with connection to the small 16 pin connector, there are single pin and socket wires from chinese dealers for breadboards.
These parts you can use for connecting.
http://www.ebay.de/itm/40-Pin-Dupont...sQGpeVGeF_So5Q