I did a search last year for tethering a Kx and found that there was no way at the time to do it. But I just searched again and I am happy to say that I found a program that claimed to work on "Pentax k-x, K7, K5, k-r, K20D, K10D, K200" so I gave it a go and well it worked. It is still in beta but so far so good.

Here is the link http://www.pktether.com/