You can do what you're trying to do without using MIDI at all.
Just take some instrument cables and connect them from your Korg to the inputs on the front of the AudioBox. The only concern is that your Korg is a "line level" instrument and the AudioBox USB is meant for "mic/instrument level" devices.
In order to get around this I would recommend keeping all your volume/gain levels as low as possible. Bring them up slowly when you are testing your input levels. If you hear distortion be sure to bring your gain down (on the keyboard or on the front of the AudioBox).
If you need help getting your AudioBox to work with your computer please see the info below:
Please check out these two guides, which will assist you in setting up your AudioBox:
1. This guide covers common AudioBox setup and configuration issues, as well as addresses basic reasons for the device to not seem to function properly:
2. If the above guide does not resolve your issue, the driver may need to be uninstalled and reinstalled properly. Below are instructions for how to do this:
Windows Vista and Windows 7:
Windows 8, 8.1 and Windows 10:
If you're still having issues, please create a system profile for me using the instructions in the articles above and attach it as a reply. I will then be able to examine your system and provide you with further troubleshooting.