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.