The easiest way is not to involve a computer. The physical connections would be:

Montage settings would need to switch the MIDI mode to "MIDI" (not USB).

CP likely has a similar setting.

You would also want to set Montage to single-channel MIDI mode. That's detailed in the below doc. This will allow for the CP88 to transmit on a single MIDI channel and reach all PARTs of Montage.

Page 24 of this doc has more details:
https://docdro.id/tjLijsT

Note - press the "download" button rather than navigating online. It's less spammy that way. Sorry about the advertisements there - docdroid has become worse since the last time I used it.

Many thanks!

If you strictly want to use the CP88 as a controller, you don't even have to hook up the green wire in that illustration, the red one alone will do.

Also re: "You would also want to set Montage to single-channel MIDI mode" -- not necessarily. It depends exactly what you're trying to do. In fact, I would say that most likely you do NOT want to do that. IIRC, if you use Multi mode, you can play up to 8 Montage Parts from the keys on the Montage itself, and another 4 Montage Parts from the CP88 (it can function as a 4 zone MIDI controller). If you switch to Single mode, either you can't play a different Montage sound from the CP88 as you are playing from the Montage's own keys, OR the Montage will be limited to playing a single Part. Though this latter approach could be preferable if one Part is enough for what you want to play from the Montage while four Parts are NOT enough for what you want to be playing from the CP88 (you'd be able to go as high as 8). But I think that's the less likely scenario.