Connection diagram:

"Blue Pill" and an additional board with resistors / connectors:

Assembled ST-Link:

Dump of screen the STM32 ST-LINK Utility:

Firmware

You can upgrage ST-Link v2 to ST-Link v2.1
This makes it possible to use simultaneously VCP, UART, Mass Storage for upload firmware.

Get bootloader , flash it.
In program STM32 ST-LINK Utility V4.3 press ST-LINK > Firmware update.
Press Device Connect
Select STM32+MSD+VCP or STM32+Audio,, press "Yes"

You have a

PA10 -> SWO

PB0 -> NRST
PA3 -> RX
PA2 -> TX