We’ll assume (because you don’t say) that you want that Slider to control some aspect of your module, volume perhaps (?)

Do you want to play the module (have it respond to the key presses of the MODX)? Again you don’t say. You can control its Volume without triggering it with the keyboard (it could be set to playback from the MODX Sequencer only...) let us know...
Do you want to send it a Bank Select and Program Change messages?
Do you want to control the initial Volume and Pan position?
Do you wish to control it via the Super Knob?
Do you want also play internal MODX sounds at the same time?
Layered or Split on the keyboard?
Do you want it to respond to your key presses or follow a MODX Arpeggiator you assign to it?

We’ll let you ponder those questions... because they all will/can come into play in setting this up.

Start by connecting a 5-pin MIDI cable from the MODX MIDI Out to the MIDI In of your module.
In the MODX, go to [UTILITY] > “Settings” > “MIDI I/O” > set “MIDI I/O” = MIDI (green)
When you are set for MIDI communication you’ll see a 5-pin MIDI icon on the very top line of the screen.
While in [UTILITY], touch “Settings” > “Advanced” > find the “Zone Master” and set it to On

The “Zone Master“ feature will allow you to setup an external Zone especially to address your external module. This activates the MODX as a Master Keyboard Controller — when this is not set to On, the messages generated by the MODX are only really intended for the MODX.

The MODX can control eight synth Parts simultaneously using its KBD CTRL (Keyboard Control) feature. Parts 1-8 can either be setup to control an internal MODX Part or, when Zone Master is On, you can designate a Part slot to control an external device. You could play/Control seven internal Part slots plus one external Part slot, for example.
You can turn the INTERNAL instrument assigned to a Part slot to “Off” and then you can substitute control over your EXTERNAL device in that Part slot using the “Zone Settings”.

Now the External device will have the ability to respond to the MODX Controllers that you set to transmit to it... on the MIDI Channel you select to transmit to it. You will have a Slider dedicated to that Part, you can determine which Controllers address you’re external device on a controller by controller basis. Maybe you want it to ignore Sustain Pedal commands because it is doing a bass sound split with an internal piano...

So before we go on, please let us know a bit more about what you actually want to do.
Tell us which MODX Performance (specifically) you want to work with, and we’ll use that as the example so you can see how it works in a practical application.

Initially, the Sliders, Knobs, Buttons, and Controller’s are all about influencing the MODX (quite naturally)... if you wish to assign a Slider to control an external device, I’m afraid you have to consider all the things I’ve outlined above and you’ll need to consider what MIDI Channel to use. This is important because each Part, internal/external, that you decide to Control can be addressed on its own MIDI Channel. This allows you to move beyond having just the traditional ‘splits’ or ‘layers‘ when controlling multiple devices — it allows for multiple arpeggiated Phrases to be controlled simultaneously, and multiple Motion Sequences to be active and applied interactively with the internal synth engine.

And when you see how it all works, you wouldn’t want it any other way. Because you truly can dial in the level of control you have over the external module including using it within the MODX synth engine

Each Performance that you wish to use can be programmed according to what you need to accomplish.

Ok that is Great detail thank you. So I've setup my own performance "patch" with piano on slider 1 organ slider 2 pad slider 3 . I would like to use the strings from the external module on slider 4 to control the volume and yes I want it it to respond to the key presses of the modx. I will go through everything you sent me and see if I can get it to work thank you so much

Press [UTILITY]
Touch "Settings" > "Advanced"
Set the Zone Master = On.

You will want to place a “dummy” program in Part 4 — you will replace this with your external module.
On the HOME screen tap the “+” in Part slot #4 to add a Part
The “Performance Merge” search screen appears... select any Single program (green) to occupy this slot as the “dummy”.
Return to HOME

Press [EDIT] and select Part 4 to edit your newly added Part.
Here you can determine what the Part slot is set to control.
Touch “Part Settings” > “Zone Settings”
Turn the Zone = ON
Set INT SW = OFF
This prevents the internal “dummy” Part 4 from sounding and makes this Part slot’s Zone Settings available for your external module.

Set the Transmit Channel
Realize that you have a Piano on Channel 1, an Organ on Channel 2 and a Pad on Channel 3... so select a channel number 4 thru 16 for your external module (set the external module to match).

You can set a Note Limit Range, you can change the Octave and Transpose, you can setup to send Bank Select and Program Change, Volume and Pan, or you can turn what you don’t need to OFF.

“Part Settings” > “Zone Transmit” — let’s you set which controllers will address your external module.

Extra Credit:
When PART CONTROL is active your four Sliders will be Part Volume 1, 2, 3 and 4
When ELEMENT/OPERATOR is active the Sliders become individual oscillator Levels for the currently selected Part

See the following article for all the details:
Zone Master and MIDI I/O Modes