How are you connecting it? It looks like it has both standard midi as well as usb connections.
If you're using the usb does windows pick it up when you plug it in?
Usually if you plug a usb device in prior to installing the drivers windows will see it and try to install drivers
from it's database which obviously it won't have, it should then ask you to direct it to the drivers and from there you can direct it to the downloaded exe.file.
I'm just thinking it might be a case of the driver not being installed properly.
When it's plugged in with the usb go the to the device manager and see if it's listed under sound, video and game controllers. I think it should show up there if the drivers are installed properly.
Just a few thoughts
Steve