ive got the same problem. i'm using reason 4. i have my microkorg plugged in via MIDI-USB using a Mistar MIDILINK cable. the device installed on my PC but when i try and use it within reason i have nothing. no midi input or anything, i tried to do as you did and selected Korg, other etc but no use when you ask reason to search for a midi controller it says no device is detected even tho in control panel in windows it says the device is working properly and is plugged in.
!!!!SOOO frustrating! I don't have any ideas so please if anyone out there has a clue about how to hook the microkorg and reason up let me know! i dont want to have to buy a 30quid simple midi keyboard after ive just spent 30quid on a friking midi usb cable!
Thanks
Ewan