It could be a memory card issue. When you plug in your KX it should function as (rather expensive) card reader. If there is a problem with the card this could explain why it isn't showing on your screen. You could try another card perhaps or buy a cheap card reader. If you have access to another computer you could see if the problem persist.
I know the KX is supported now trough this update:
Digital Camera Raw Compatibility Update 3.1
Have you tried turning your camera on before you plug it in. Perhaps that will kick start the process. I just tried this out on my Mac without any problems.
Well, thats all I can think of! Good luck.