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I havent used the Pico with Windows but I suspect what you need to do is create a virtual midi port using some third party software. This used to be the case on the mac too, but since macs have built in support for creating virtual midi ports, EigenD now does this automatically which makes it a lot easier. Assuming Windows doesnt have this, you need to do some stuff yourself. This thread makes mention of this and what software you can use:

http://www.eigenlabs.com/forum/threads/id/498/

Once you have a virtual midi port setup, you may well need to tell EigenD to use this midi port, and will then also need to select this port for input in your other software.

Again Im not sure what the procedure for selecting the midi port is for the Windows software, or whether it will default to using your virtual midi port once you have created one with other software (which will make this part of my instructions obsolete), but if it is the same as on the mac then here are some instructions I posted to the forum a long time ago that may do the job. I use my own way of referring to the keys but hopefully it will make some sense:

To configure midi:
Start EigenD
Start Browser by selecting it from the EigenD menu
Press the main mode key and the 4th button down on the right to access Instrument/FX control
Press top right key at same time as left 8th key to access Midi & Audio control
Press first left key and you will see a list of midi devices in the browser.
Or press second left key to see a list of audio devices in the browser
Then use pico scroll keys or mouse to select the device you want - it should end up with a green dot next to it when it is selected
You then return to play mode by pressing main mode key and one of the left keys to choose an instrument. In my example I want to control other stuff using midi so I press main mode + 8th left key. Note that you can press more than one instrument key at once to play multiple instruments simultaneously.

And just to tie my above instructions to the Quick Reference guide:

First page shows me to press main mode + R4 to get Instrument/FX control
Instrument/FX control is section 4 which tells me to press R1 + L8 to get Midi & Audio Control
Midi is section 16 which tells me to press L1 for Midi port browser or L2 for Audio port browser.

most midi controllers you plug in under windows act as a native usb midi device which is why you can control a soft synth with them. Eigend is different, it can send midi to a midi device, send audio out to an audio device, acting as a sampler and vst host. So if you had a real midi interface (even one in a usb midi controller keyboard) and an external synth it could control it.
If you are trying to drive a daw though you need a virtual midi loop back device. Do a search for loopbe, this should work and i think the 2 device version maybe free or pretty cheap.
If you want to capture the audio from eigend you will need a physcial cable from an out back to an in, or a virtual one (but I dont know of any free Windows ones).
On a mac soundflower is free for the virtual audio software and virtual midi ports come with the os.

At least thats how i think it works ;)

Hi all,

We are going to do some research into this and we will get back to you when we find any information.

Cheers

Aaron
Customer Support