Firstly, the G2 isn't a dedicated workstation like the Yamaha Motif, Roland Fantom or the Korg M3, Triton Extreme, etc. So, there isn't any real onboard memory and you will have to rely on using your computer in conjuction with that board live. Looking at the specs, the G2 doesn't have a sampler built in and is a synth more than a workstation. Again, now that I own two workstations, I can see myself owning the G2 as an add on to my setup.
As far as describing how to setup samples to be triggered, each keyboard is different and I can go in depth on Korg. With other boards, some of the other forumer will have to impart their knowledge on this. Loading samples for the G2 will require you loading them into your computer and then having the software (something like cubase) that provides a dedicated sequencer. For the price you are paying for you G2, you might want to look at:
http://www.musiciansfriend.com/product/Korg-M3M-Tabletop-Music-WorkstationSampler?sku=701818
and then add:
http://www.musiciansfriend.com/product/Korg-61Key-USBMidi-Controller-with-Sounds-?sku=700677
or, if you buy this:
http://www.musiciansfriend.com/product/Korg-M3-Music-Workstation-Keyboard?sku=701817
everything you want to accomplish can be done with minimal fuss. Instead of MP3's you would use .wav files. This last link will also give you a lot more than you asked for and you can expand as needed - probably without having to buy any more gear for quite a while.
Let me explain what one of my two workstations do for us live:
1. Plays back all the drums and rhythms that I programmed
2. Triggers samples in perfect time as part of the recording
3. Sends MIDI messages to my BassPOD and switches the sound on time while we are playing live.
4. Sends MIDI messages to my DMX light mixer and controlls the lights on stages in time with the music (strobes, fades, flashes, etc).
5. Sends MIDI messages to my Kurzweil Mangler that I use for voice effects and changes them on time with the music.
6. Still have tracks open for playing leads on the keyboard (my wife actually plays them live).
...and I'm only scratching the surface. We like to grab people in the audience and have them say a curse word in the microphone, record it directly to the keyboard and, while the next song is playing, my wife is slicing and piecing that sample back together for use in the next song (with effects and everything) which she will assign to any number of keys for playback!!
If you have a drummer, have him get a MIDI modules and a few electronic drums and have him trigger even more samples just by hitting one of those drums (Rush does this) or even trigger some cool sequenced sounds live!!!
Anyway, it's not just Korg but any REAL workstation can do this. I look at it this way - Any musical instrument you buy should be an investment for the you and the band. I'm not saying you have to buy the biggest and the baddest keyboard (as some of them top $10,000) but, buy something that will offer you quality and get you the results you NEED. Don't ever skimp and kick yourself later when you are shelling out more bucks to make the first item more workable.
I hope this helps. I think 37 keys and other smaller gadgets are great but they are more additions when you are talking live setups (unless you are a DJ).