Are you sure the Style Converter software came with the BK-9? My BK-9 was also purchased used (but very pristine), and it did not come with software. You might be thinking of the BK-7m, because that module lacks an on-board Style Composer, and it has a very minimal display that would make on-board editing difficult.

My advice is don't waste your time looking for the Style Converter or learning to use it. I messed with Style Converter 3 when the Prelude first came out (user style creation was introduced with firmware Version 2.0), and found it very bare-bones with minimal features or user guidance -- an undercooked piece of software. Instead, I advise you to use a MIDI sequencer on your PC, in conjunction with the on-board Style Composer on your BK-9 to convert snippets of your favorite MIDI song to a full-fledged style.

No matter what tools you have, this is a daunting task. Seriously, the easiest solution would be to MIDI your BK-9 to a Yamaha, because they probably already have a style reminiscent of the song in question!