thwart, have you been here
http://www.korg.co.uk/downloads/driver/dl_driver.asp and
http://www.korg.co.uk/products/software_controllers/kseries/sc_kseries.asp you installed the midi driver for that thing right? and install it via USB.. you might find a control panel software for it.. specifying you can either select midi ports OR midi via usb..
in sonar look in your midi pref's and see if it's listed even.
the simplest test to check midi is hit a key and a midi icon is in your task bar where the clock is.. if your getting a midi signal it'll light up.
when you assign say a 1 channel VST.. you do have to have audio AND midi enabled (and armed) you have done both ?
you don't really need any other midi interface.. of course if you want to use 1 then you will need the drivers installed for that AND it enabled (ticked) in sonar