I am guessing that there was a .exe in the zip file that you unzipped. This would still need to be run after you unzipped it for the software to install. When you unzip it be sure to note where you are unzipping it to so you can then go and click on it to run it.

I looked at the Korg website http://korg.com/service/downloadinfo.asp?DID=435 but I only saw the .exe itself not the file in a zip. Not that it matters as I am sure the problem is simply that you did not run the exe after unzipping it.