Connect your debug target to the debug host with the FTDI serial cable. The cable will show up in the Windows device manager as a USB serial port. The debugger will use this port to communicate with the debug target over serial protocol.
UEFI debug agent can only be used with edk2 UEFI BIOS. To debug the boot phase, the UEFI BIOS needs to be rebuilt with SOURCE_DEBUG_ENABLE feature enabled. For Minnowboard Max the feature enables DXE phase debug agent by default. To debug SEC/PEI phases, the configuration must be changed to include the debug agent modules for these phases. See also the Intel® UEFI Development Kit Debugger Tool User Manual, Chapter 2 for instructions. The manual is available at http://firmware.intel.com/develop/intel-uefi-tools-and-utilities/intel-uefi-development-kit-debugger-tool.