NEWBIE HELP Korg K61P music keyboard won't come from iMac speakers

HELP. I'm a brand Newbie to Apple, having migrated from PC, because I will be composing and recording music. I have a KORG K61P keyboard controller, which I've attched to the iMac via USB, followed all the instructions, and I can't get it to make a sound from the iMac's speakers. Only through headphones in the back of the Korg.
I even downloaded the latest driver, which I think was the same as the one on the disc. I've been to "Mac 101 Audio Attachments" on Apples' website, and again, followed the instructions. Still nothing. The computer doesn't seem to know the Korg is there. I'm still trying to understand how to understand the iMac. Very different from the PC and Windows. Perhaps I saved the Korg driver in the wrong place (although I don't know how to find it) , but I would think that by doing the "recommended" it should all happen OK.
PLEASE HELP. I have Cubase installed, and a Line 6 TonePort UX1 for mics and guitars, etc, and I'll ultimately be listening to it all through monitors, not the iMac. But before I start all of that stuff, I have stumbled at this very first port...
Any muso mac users there who can do a bit of mentoring here for a frustrated new Apple man?