Can you hear sound outside of RM2k? (i.e. is your volume up) Make sure you check your computer's volume, there is a separate volume control for MIDI output. I seem to remember also that RM2k directly affected the MIDI volume for some reason, setting it to be rather low, but maybe that was patched.
Also, test the .MID files in the BGM Selector, maybe it's a MIDI issue.
Oh, didn't know there was a seperate volume control for MIDIs. Well, it's fixed now. Thanks, BC.
EDIT: Now when I set my start event (where the character starts the games), it won't show up as the little blue icon. It won't show up at all. Neither will my vehicle start event. I did everything right and no events are messing them up...