Setup menu just takes me back to main screen
Our 2.0 version does not use the set up wizard, instead the set up is through the premier mode keyboard tab. It is also possible that you were doing set up correctly but misunderstood what the set up was doing. When you hear the sound, it is the game finding your computer's sound card, which generates the sounds in the game
The keyboard HAS NO SPEAKERS and makes no sound when being set up, and in the game, only transmits a signal to your computer to make the sounds for it. So, you should NOT have heard a sound when pressing the first key, but SHOULD have seen a command to press the last key. At which time it should have taken you to the next step in the set up. Did that happen?
If not, let's try try it once again (unplug the keyboard from the computer to restart, and make sure it is turned on if there is an on/off switch in the back) and then perhaps some alternative ways to set up the keyboard.
Go to our video tutorials section in the helpdesk online
http://www.pianowizardacademy.com/helpdesk/tutorials.php
Here is a demo of the set up process you were using.
http://www.pianowizardacademy.com/video/36.swf
Here is another way to set up the keyboard with the Keyboard tab in Premier mode.
http://www.pianowizardacademy.com/video/30.swf
If neither of these work then we will try some other tests, but usually the keyboard just "works". When it doesn't, it can be maddening. We are not the hardware manufacturers, but we almost always solve it and get people set up and playing.
Note: unplugging and plugging in again doesn't set keyboard back to factory defaults. See our knowlegebase article on doing that if applicable.