I don't have that Korg keyboard and have never used it, so I wouldn't know if there are any specific problems. However, if this is just a regular MIDI keyboard with a proper USB MIDI driver implementation and suitable drivers are installed on your system, it should work and will probably just boil down to the question of using a MIDI keyboard with Music Studio 14 (which I will explain in more detail below). Most likely, the USB MIDI drivers just work via plug & play, but you might want to double-check that suitable drivers are available for your operating system or whether there's some update or additional info from Korg.
Here we go: Start up Music Studio 14 and create a new VIP project. Now go to the program settings, e.g. by pressing "Y" on your keyboard. Under "Audio System", you might want to make sure that ASIO is picked as the driver system and a suitable ASIO driver is chosen from the drop-down list, e.g. the "Magix Low Latency (2008)" driver, if your sound hardware doesn't provide its own ASIO drivers.
Move on to the "MIDI" settings in this dialogue and make sure that your keyboard's driver is chosen in the "Global record device" drop-down list. Confirm the program settings by pressing OK.
When you're back in the arranger main screen, pick and select the track you want to use for your MIDI recording. In the track parameters on the left-hand side, highlight the "MIDI" switch to declare this a MIDI track. Expand the "MIDI" section underneath and check/adjust the settings there. Under "In" the driver for your MIDI keyboard must appear again. Under "Out" you need to choose the output/instrument that you're actually going to play with your keyboard, typically one of the installed VST software instruments.
You're now basically ready for MIDI playback and MIDI recording from your keyboard, which you can start via the actual record button in the transport control.
So, as far as your problem with the keyboard goes, it basically looks like the system or program doesn't properly recognize the USB MIDI driver in the first place. Naturally, that would explain any further problem.
When it comes to USB-based MIDI devices, you need to keep in mind that they require a driver implementation that is supported by the operating system in question, which I trust shouldn't be a problem between any current device and a Windows XP system. This is also plug & play, which I would expect from any current device. I guess the only thing that comes to mind is possibly that something might be interfering with the plug & play driver installation. This could be another USB device, possibly a multimedia device like a webcam. Logitech webcams are notorious for this. So, if you have anything connected that might be the culprit but isn't really required while operating Music Studio, just unplug/uninstall it for the time being and see how you get on. Also, make sure that your system is up-to-date on all its components (e.g. Windows service packs and mainboard chipset + USB controller drivers).
I was going to suggest a connection of the keyboard via the traditional MIDI connector to the MIDI input of your soundcard (if existent), but I just looked up the specs on the Korg device and noticed it only comes with a USB connection.
If you tried what I suggested above but still don't seem to "see" the keyboard in the Music Studio program settings, please check whether you can see it in other software. Maybe Korg can also provide some additional advice on issues like this, especially if the keyboard is not detected in any MIDI software.