I believe your keyboard is General Midi correct? If so, you should have a midi function on the LCD screen to scroll through options. Be sure its set to GM on/off to ON. Also make sure your midi cable OUT has been placed in the MIDI IN of your keyboard and that MIDI IN is in the MIDI OUT of your keyboard. They need to be opposite in order to loop. In CW9 there is a setting for devices. Be sure you have selected whatever the sound blaster MPU-401 default is. Then give it a try. Also, what operating system are you using? I have had trouble returning a midi signal with Windows ME. Hope this helps!
Casio Privia PX-560 - Korg Micro Arranger - Casio MZ X500