ok, just tried it on my computer. took about 20 seconds and it worked straight away.
first i set the audya up:
Menu -> Midi -> Utility -> USB Midi: [ON]
plug the audya (rear usb) into my laptop
windows found the audya straight away.
I checked in windows control panel and the Audya had automatically been selected as the midi device.
Loaded sequencer on the computer, works perfectly.
Maybe you either have a problem with your USB cable or your computer has a USB issue?
here is what i see on my computers device manager:
[IMG=http://img20.imageshack.us/img20/6494/deviceh.jpg][/IMG]