Yamaha DTXpress/DTXplorer/DTXtreme

Hi,
  I'm a new DTXpress user and have linked up my kit with a computer 
through the MIDI interface of my gameport. I have followed the setup 
from the DTXpressions website (which is great BTW) and still am 
having some problems. I am using Cakewalk Gold software (which came 
with my SB Live!) and I can receive MIDI IN signals from my DTXpress 
but am not able to send MIDI OUT signal to my DTXpress. I can see by 
the activity lights on the tray icon that data is being sent out to 
the external device, but I can't hear nothing from my DTXpress. Would 
anyone have had this problem before, or would know what I'm doing 
wrong? If a message is sent from a MIDI device to the DTXpress, it 
should play it right? Does the mapping of the instruments, and all 
that have anything to do with it?

Thanks

Sebastien