Can you transfer audio files, like WAV or MP3 to the KORG ?
If so, RIP the song from a CD to hard drive. Then, transfer to KORG.
However, what you mentioned should work ?
I would say, read the manual's "troubleshooting" section.
If all else fails, contact KORG via website or 1-800 number
I connect the Line Out of my PC's soundcard to a Yamaha MTX-3 4 track (inputs 5&6).
I use a Ground Loop Isolator cable . (reduces hum)
Mind you, I use it as a mixer, rather than a recorder. I have used it to record with this setup.
I have the Line Out of the Yamaha, connected to the Line In of the PC
I use channel 1 for mic, channel 2 for guitar pre-amp, 3&4 for Roland synth