The first thing to check is what MIDI interface you are using.
If you are using an M-Audio UNO or an E-MU product, you should try using a different MIDI interface when using CMK Config or MCU Config. Users of those products tend to have difficulties using our software. We use a generic MIDI driver which seems to conflict with those devices on occasion.
We recommend purchasing or borrowing a Midisport 1x1, 2x2 or 4x4 if you need a standalone MIDI interface. We know these to be reliable.
Once your Classic hardware has been programmed, you can go back to using the UNO or E-MU with little to no problems.