How to connect/use BPRV2125AM?
They have an evaluation kit according to the datasheet you linked. 


  The u2t Evaluation Kit EVA-BPRV serves as easy-to-use utility to characterize a single u2t photoreceiver BPRV2125A under laboratory conditions. The kit consists of a PCB (printed circuit board), a DC cable set 
  and 4 socket head screws 4-40 UNC (see picture).


Otherwise yes you will need a printed circuit board. The RF output is on pins 17 and 18. You should ask them what the output impedance is of that differential output so you can properly match it. Its probably 100-ohm differential / 50-ohm single ended, but truly it shouldn't be guessed.