I can't be specific about KI, but in general:
I would think the board would still start the boot process even if the hard drive was junk, it should get a short way into the boot and either appear to freeze up (waiting for the HDD) or give you some sort of error message. Blue screen sounds like it isn't booting at all. Check your power supply, +5 voltage at the game board and check all your connections. Make sure everything is plugged in fully and properly and you don't have any connectors swapped or backwards.
As for the HDD, again I can't be specific about KI, but ususally game HDD's use non-standard formatting. You can plug it into a PC and see if the drive is recognizable, but DO NOT let windows run chkdsk or any other "fix" utility on it. Fix utilities will attempt to fix the disk formatting, MBR and allocation tables to conform to some standard (FAT, FAT32, NTFS etc...) which isn't correct for the game. If your drive is indeed hosed, there are methods to write to a new one using the MAME .chd file, google for it, you should be able to find it. I've had to do it before myself and it's pretty straight forward.
Good luck!
D