I haven't tried using the cable, I always use the USB stick.
Not sure which software you are using, but my steps for writing to the stick are -
When you have the design in your software - Under file - click - save as
in the window that opens - bottom
Save as type
select Bernina USB stick.exp
You may have to format your USB stick. I didn't, but I know others have. I use a generic USB stick - not the Bernina branded one.
Hope this helps and you are able to start having fun.
Donna