I hooked up my M-Audio 61 to the Kenton Midi Host via USB set to global ch 1 and works like a charm. 
Bernie: You can use a standard USB midi cable out of the Korg and plug the flat end of the USB cable into one of the 3 standard USB ports on the side of the sd40. Should work fine.
JM
Sorry for the replication of replies, since Torch already covered this.