cannot get midi to work

I have never gotten midi input to work, but I've lived without it. Now, I am traveling and I would like to use my Korg Nanokey with my MacBook Pro. I tried to follow the directions of this video on YouTube that explains how to do it.
https://www.youtube.com/watch?v=MAqF3Ok8_Rs
However, I cannot get past choosing a midi input or output. Nothing shows up there. I tried making a new configuration in Audio Midi Setup, but I don't see how to connect things.