You need to set up what Korg calls a Multi patch, then save it, then pick the next track on your MPC and set it for the next midi channel. Set slot 1 on the multi patch to strings and slot 2 to horns.
But before you do that, go into the Global page and turn the Local on/off to 'off'. This will break the connection between the keyboard and the sounds inside and is the configuration in which all sequencing should be done.
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