[Roy Dennis]

When you say CDG files from hard drive I assume you mean MP3+G or zip files.
You do it via the Menu Import files tab which will take you to another dialog showing various options for hard drive imports use the "index song files " button, when that dialog opens select KMH button then the type of files you are trying to import probably MP3G or Zip, once you start you should see instructions in the left pane to instruct you basically follow those. When you select a folder be sure its open so you can see all the files in it before you press select.

There is a video showing importing hard drive files but it is a couple of years old and the first part showing the quick way has changed so ignore that part. If you watch it fast forward it to 4 min 45 seconds from that point it should help you understand it.
Here is the link: https://www.youtube.com/watch?v=jjf7fxEK5wk

The quick way now is via the scan now button but that is only advisable if all your files are all named in exactly the same order or if they are ordinary mp3 type files that normally contain id3 data tags.