It looks like you have the step wire in the screw terminal for parallel port pin 9, and the dir signal in the screw terminal for parallel port pin 8. Is that how you have Mach3 configured?
When you jog this axis back and forth, you should see the LED next to the "pin 9" terminal turn on for one direction and off for the other direction. If you can't jog the axis and look at the PMDX-126 at the same time, you can jog one direction then stop and then look at the LED. Jog the other direction, stop, and look at the LED. It should remain lit after jogging one direction, and remain off after jogging the other direction.
Look at all of your Mach3 settings (motor step/dir and all output signals. Make sure nothing else is configured to drive port 1 pin 9 (presuming that you are on the primary PC parallel port).
Are you sure you have the wires securely in the screw terminals? I believe the 126 uses "rising clamp" screw terminals, which means you need to lower the clamp, insert the wire and then raise the clamp. If the wire is squeezed under the clamp it will (or may) have only intermittent contact.
If the motor still only runs in one direction, remove the DIR+ wire from the screw terminal and put it in the "PC+5V" terminal. See which way the motor runs. Then move the DIR+ wire to the "PCgnd" terminal. Does the motor run in the opposite direction? If it runs in the same direction check all the connections on your motor driver.