I am sure you did the wiring correctly - looks like a thorough job in your pictures.

Tweakie.

It's not a first time I did that so I believe it is correct. Send an email to Keling and see what they say.

Tweakie, I'm guessing those en pins are enable do you know?

Brett

Tweakie, I'm guessing those en pins are enable do you know?

Brett

In the manual it says that if those are left unconnected then the driver is enabled . http://www.kelinginc.net/KL-4030.pdf

One more thing. Is it possible that I have damaged the driver if I connect power and all the switches on the driver where in ON position(down)?

No idea what 4 and 8 do as the manual doesnt mentinon them. 

Wouldnt think the others would hurt........ 1,2,3 set microstepping option and 5,6,7 set the current.  The curent needs to be set right but if you have not had any motion yet, don't think they could have been damaged but not certain.

Brett

Okay. I'm going to do some work or my wife gonna put me in the basement. We will see what Keling Inc replies to me

I doubt it is relevant in this case but this is typical of problems that can be encountered with some of the Chinese manufacturers product. http://www.phlatforum.com/viewtopic.php?f=128&t=9421

Tweakie.

Nope. Didn't work

I got it!!!!!!!!!!!!!!!!!!!!!! 
Followed these :

Rather, I'd suggest you check if it's communicating by bringing up mach and hitting the diagnostics screen. In there you can see all the port pins and if you short any of the 5 inputs to ground it should blink on and off as you do it. For example, take a pair of wires and connect to pin 13 and ground, touch them together and see if it lights up in mach. If it does, that's a clue that you are communicating with the port / cable / card.

From here: http://www.buildyourtools.com/forums/index.php?f=9&t=818&rb_v=viewtopic

And the problem was one of the jumpers on the breakout board. It have to be switched to be connected between 2-3 which mean COM=5V . Before it was connected between 1-2 which mean COM=GND