I started today with the MU90R and I don't have Cakewalk but Midisoft Recoding Session, but the theory should be same. Let's see if I can help you.
First of all:
Have you connected your midi cables?
Midi out from the computer to midi in in MUR90
Midi in from the computer to midi out of the keyboard you're using to control the MU90R. You're using one aren't you?
Why don't you better tell me what your configuration looks like?

Vicente.