Hello Jokernippe,
I am new to the forum and to CNC in general. I just got a chinese 3040 machine and had the same issue. Not sure if you have it hashed out yet but maybe this will help. In Mach 3, go to the "config" tab and "ports and pins". Select "motor outputs" tab and enable (green check mark) your X, Y and Z Axis. Under "step pin" enter X=2, Y=4 and Z=6. For "Dir Pin" X=3, Y=5 and Z=7. Green check mark the "Dir LowActi..." and "Step Low A..." for all 3 axis also. "Step Port" and "Dir Port" should all be 1. At the bottom, enable the spindle (again, green check mark) and for "Step Pin" = 17 and "Dir Pin" = 1. You also have to enable the "E-Stop" (green check) under the "Input Signals" tab. Estop Port # = 1 and Pin number = 13. If you want to enable your Z axis probe, (green check it) and Port = 1 and Pin number = 15 (enable active low green check mark).
This was the setup for my machine. It took some "monkeying" around with and a lot of google searches but, if you are like me, you didn't read the instruction sheet that came with your machine (if you got one). All this info is there. I spend hours goofing around and searching the net and there it all was, right in front of me the whole time. Oh well, good learning experience i guess. Post back and let us know what happens.