The message "Not Enough Memory to Complete This Load" indicates that you don't have enough PRAM memory to load the selected item.

What is PRAM ?

PRAM is battery backed memory and its gauge is displayed in the upper right hand corner (Memory:). It is used for saving user objects such as programs, keymaps, setups, QA banks, and sequences. In fact, everything that can be named and saved goes into the battery backed RAM except for the actual audio sample data. When the K2 is powered off, the battery kicks in to retain those items in PRAM.

For the K2600, the internal memory is 486k, expandable to 1502k with the PRAM option.