The thing with MIDI goes something like this...
If you have MIDI IN, and MIDI OUT on your keyboard, you CAN use your keyboard as a controller (master keyboard) or you can control that keyboard with another one (slave keyboard)
This works without any samples. The idea is to have sounds of one keyboard on another. MIDI is mainly used with racks. For example... you buy a MOTIF ES Rack (just the motif sounds) and you plug another keyboard to it and you can play motif sounds on your keyboard...
Now, about the samples... you CAN'T, and DON'T send samples via MIDI cables. If you have a SAMPLER keyboard it is NOT a low range keyboard 100%!
Samplers have additional RAMs in which those samples are stored. You CAN'T add SAMPLES to a PSR series keyboard. They just don't have that options. You CAN add some "new" sounds (higher range PSR series) but those are just edited preset styles... nothing more, and those sounds use samples which are already in your keyboard - NOT new samples.
This applies to all the keyboards.
If you have sampling option, the only way to transfer new samples are via USB storage device (usb memory stick) or via some memory cards (SD, SmartMedia etc...). There is NO WAY you can send new samples via MIDI cables...
MIDI cables are used just to send SIGNALS to, and from a keyboard.
For example... If you have a PSR S500, and you buy a MOTIF RACK (just the motif sounds) you can use those sounds via MIDI. But this doesn't mean you actually transfer the sounds TO your PSR S500. You just send signals to the rack which then processes those signals with its sound generator, and you then can play those sounds.
Hope I was clearer this time