You need to change to Korean language before typing in Korean. The steps you've taken have only made it possible to type in Korean, but you need to select it on the language bar. A little icon appears in the bottom right that says "EN" for 'English' or maybe 'DE' for Deutsch. Change it to Korean.
Sorry I can't give you any more specifics, I've been using a mac for months now and my windows might be a little rusty!