I don't use CompuLive yet, but I do use MyDMX and the Korg nanoKONTROL.
Let me share some experiences. Be aware that my experiences are MyDMX specific. My hardware is a MacBook Pro, the 17" with the upgraded screen, Mac OS X 10.5.8?(it's latest), BootCamp 2.1 and XP Home with SP3 on the PC boot(no emulation). 2 Gigs RAM, soon to be 4 Gigs.
First, the Windows drivers for the Korg nano-series sucks. While the devices do not marry to a USB port, you may need to re-install the driver each time you connect to a different port USB port. Even so, I find that when it's been a while, I have to start the process over again.
Second, MyDMX hates USB hubs, powered or otherwise. Even though Sonar and ProTools are seeing the Nano, MyDMX doesn't like this. ALSO, NEVER run the MyDMX dongle off a USB hub either, it hates that too. So, despite me having a fully functional arrangement with a NanoKey, nanoPAD and nanoKONTROL all working with Sonar and ProTools, and the nanoKONTROL even working with Sony Vegas all off the USB hub AND MIDIOX seeing valid MIDI traffic, MyDMX doens't like that arrangement.
My suggestions: Go to the Sound and Audio Devices control panel and check the hardware tab and see if you see the Korg controller in there. You may also be able to see it in the Device Manager as well. This is a good first start. ALSO, check the Korg software(I forget which one exactly) and see that it sees your hardware s well.
Issue 2: Again, double check to ensure you're not using a USB hub.
Issue 3: Chech your controller's configuraiton, mainly if you've had to install a custom configuration. In my case, since I use ProTools, I have my nanoKONTROL configured to emulate a JLCooper CS102. Chancces are this isn't where your problem is.
Issue 4: I don't use Compu Live yet so I can't comment authoritatively. There might be an area where you need to say "use this device" from a MIDI configuration menu. You may need to specify things like MIDI channels. I don't know how Compu Live deals with this. MyDMX was very simplistic as it listens to what you feed it, learns it and there ya go.
Hopefully, some of this may apply to you. Forgive me, I'm just a lowly MyDMX user, and an audio engineer. I know not what I say!