Welcome to RCH. We usually ask that members create their own threads when asking a question, but I also understand what it's like being new to forums. No worries.
The switch on the dongle does nothing, as far as I can tell, with the 3GX. I think it did something with the 3G though.
You are not going to like the 3GX, it is not beginner friendly at all. But maybe you got lucky and got one of the good ones, which is rare. DO NOT run any of the version 3 or 5 on it. 4 is very hit and miss and I highly suggest version 2.1 over any of the others if you have to use this gyro.
You need to bind this gyro with your Tx. In other words, the gyro needs to see that your Rx has signal. If you are using spektrum, and you are only running one satellite, plug the satellite into port 2. Port 1 doesn't work by its self for some reason on most of them. If you are running two satellites, then you will be fine. If you are running a separate Rx (which you have to do with a 6ch Tx), then just bind that to your Tx and connect all of the little wires to the 3GX and it should power on.
Connecting it to your computer should be as simple as plugging it in. I have a complete video series on this gyro that should walk you through everything you need to know about it.
Just click the link below to go to all of my videos. From wiring to parameter menu's, it's all in here. And the very first article will have all of the links to the different versions of the software and firmware. Again, I would use 2.1 if I were you.
Rc-Help - 3GX How-To