I would like to thank Renny and WS for their help - and thank Korg for being particularly unhelpful.

1. The Korg website (korg.com) appears to have info only about their current product range and no historical info/downloads.

Renny: after reading your reply I had a bit more of a play with my PC MIDI interface settings. You see I didn't have 'synth A and synth B' just 'Default MIDI interface'.

So for any other NS5R users out there (and the same is probably true for the new NX5R to get 48 channels), here's what you do:

Assuming the Korg PC MIDI interface driver is already loaded (you may get an option for this when you set it up I can't remember), go to Control Panel->Multimedia and click the 'Devices' Tab. Expand 'MIDI Devices and Instruments' and you should find the Korg Default MIDI interface. Select this and click the 'Properties' button. A new window opens - click on the 'Settings' button and you get a Korg settings screen 'Korg PC I/F Driver 1.3'. If the section 'Synth Out Messages' is greyed-out, you need to enable the 'Independent Synth / MIDI Out' check-box. 'OK' all the way out and restart Windows (it will tell you to do this). If you go through into ControlPanel->Multimedia->Devices this time you will see 4 options for KORG PC MIDI interface: 'interface out' 'port' and 'synth A'/'B'.
Now I don't recall the Korg manual explaining this (or I would have done it when I installed the driver.....)