go to windows control panel > system > hardware > device manager > sound, and video game controllers to see if the m audio midi device is listed. make sure that the usb connection is secure, and is also connected to the midi input of the korg x5. the m audio interface led will light up when responding to midi messages transmitted from the x5. assuming you are using windows xp.
also check the x5 manual for examples of how to connect your keyboard to other midi devices. also i think there is a small switch at the back. make sure it is set to MIDI not PC or MAC.
m audio midi out > korg x5 midi in.
m audio midi in > korg x5 midi out.
make sure that the x5 global channel is set to 1.