Hello and welcome to these forums. You'll find many helpful people here and a lot of useful information. Make sure that you get the excellent User Guide too:
http://www.cockos.com/reaper/userguide.php
"map the knobs/buttons/faders to VST params"
-- configure the knob /slider on the MIDI controller to send a MIDI CC message,
-- open the VST(i) in Reaper,
-- twiddle the control on the VST(i) that you want to control,
-- click [Param] and select "Learn",
-- twiddle the knob /slider on the MIDI controller,
-- the MIDI CC message number should appear in the dialogue.
-- se the other options, if needed
-- click [OK]
Once you have set all you want for the VST(i) you can save the mappings as the default from the same Param drop-down menu.
User Guide: 16:25
send Program Change signals
What problem did you run into?
"All" you need to do is send Bank Select and Program Change MIDI messages form the controller. Here is an example of changing Reaper presets using PC messages:
How to: Switch presets in a VSTi via midi keyboard