This happens when the driver is not fully installed. In order to properly install the PadKontrol you need to do 2 installs.
First, Run the installer either from the included disk or from the website.
Second, Launch the Korg installer application program. This can be found in Start > Programs > Korg USB MIDI Driver Tools.
Select install Korg MIDI device and choose the PadKontrol. Then follow the prompts. When finished, the PadKontrol should be ready to go.