It's probably because you are using a USB pen drive which has a U3 partition on it. The Korg M3 software can not handle it. Use a USB Pen drive which has only a single partition and no added frills.
You can tell if you have a U3 partition by plugging the pen drive containing a single MP3 file to a PC. If the MP3 file auto plays without you selecting Media Player from a pick list, then it's one of "those" pen drives!
U3 partitions can be removed. Korg software can be fixed. There is other correspondence about it. All Sandisk Pen Drives are "offenders".