A CSP (Cryptographic Service Provider) is a general-purpose cryptography standard, developed by Microsoft. On one side, it defines a cryptographic interface to be used by applications (CryptoAPI). On the other side, it defines an interface to be used by manufacturers to integrate their cryptographic hardware.
A CNG (Cryptography API Next Generation) is a second-generation cryptographic interface, developed by Microsoft. It offers updated cryptographic algorithms and is intended as a long-term replacement for CSP.
When installing the CryptoServer setup, make sure to select the CPS/CNG - Cryptographic Service Provider (Microsoft) interface. A Cryptographic User should be created, and an MBK should be generated.
Generating the MBK is necessary for the HSM to become operational. Without the MBK, one cannot run any cryptographic operations.