I have a A300 Pro, it does not come with a mains adapter because it actually powers off the USB. I turn it on using a flip switch next to where you plug in the USB.
I'm not sure your A500 Pro is the same or not, it may/may not require external power with USB. You can easy tell if it's on or off of when the display lights up. Try the switches near the USB in anyway (or check your setup manual).
Windows should also make a sound and indicate that the A500 is connected with USB (The USB goes from A500 Pro to your PC).
Once there you can install or update to the latest drivers:
http://www.roland.com/support/article/?q=downloads&p=A-500PRO Let us know if you get this far.