All I can say is if you installed the two demos, they are on your computer somewhere. The default is: C:\Program Files\Micro Technology Unlimited\[program filename] (either Microstudio or Hoster).
KPro 5.0 will support Duet songs, but the KPro 4.009 demo does not do this. Version 5.0 is expected to be $149 by itself. We will also offer a package with it instead of the 4.008 version. This will allow separate colors for Singer #1, Singer #2 and Both... yes, 3 colors are supported.
When you export a CDG file from KPro, you can specify the drive/folder where it saves. It is normal to use something like D drive, Songs or Songfiles, etc. to save your work into.