For days I got the "no Device Found, Check MIDI Device Setting" error.
I read that it could be the fault of my cheap Amazon USB-MIDI cable (I know it has a built in interface). I bought the Roland UM-ONE MK 2 cable, which one person had success with. And it worked! So if you're running into this error, unfortunately, the problem might be your interface, which is not a quick fix.
1. Turn computer on. Connect USB end to computer. Connect cables to MicroKorg.
This part is important: For the majority of MIDI cables, the 'in' cable goes into 'out' port, 'out' cable into 'in' port on Korg. My cheapo cable was like this.
For the Roland UM-One MK 2 cable, read the text on the cables very closely, because it actually says 'connect to in' and 'connect to out.' I had sort of mindlessly been connecting the one that had 'in' on it to out, thinking it was like the other cable..., but no, the label is different.
If you run into the issue where the cable appears as a device but not your microkorg (see picture), try switching around the cables to see if you got it wrong like I did.
2. If you are using Windows 10, the interface will fetch the drivers from the internet and you don't need to do anything. Turn Microkorg on.
On Microkorg: Shift+8 to overwrite write protection. Set to 'off' using the 'cutoff' knob. Press '8' again to save.
3. Midi clock set to 'External' on Microkorg.
4. Open the MicroKorg Sound Editor. It should now show the Microkorg as a device.
If your cable isn't working, make sure to do a sanity check - open another program and try recording some MIDI with your microkorg. Doing that and getting nothing was what tipped me off that something was wrong... 'twas the in/out.
So the takeaway is this:
1. your cable might be put in the wrong order. MIDI cable labelling depends on the manufacturer. Switch it around, it can't hurt.
2. Sanity test!!! Try recording to make sure something isn't going wrong!
3. Your cable may just not work! I was recommended the Roland UM-ONE MK 2 and it did work. A very cheap no-brand one from Amazon did not. This is a real bummer if you need to record quickly. But I recommend the Roland because it's not as high-priced as some of the other ones I saw recommended, and the setup was quite fast.
Hope someone else will be able to save time and a few hundred dollars like this... if you would like any more details, let me know. I'm no expert, just someone who'd like to help other newbs. Also, if you know of an even cheaper option that works, please share! Maybe we can compile a list of cables/interfaces that we know work, and ones we know don't? My bad cable was from 'Hosongin' (works for MIDI, not for the sound editor).