If you select one of the User Style numbers but the display says "No data," it means you haven't loaded a style to that User Style number yet.
You can transfer style files into the internal storage memory using the Yamaha Musicsoft Downloader program-- or the Yamaha MusicSoft Manager app if you're using an iPad (and don't ask me why the "s" is lowercase on the PC program but uppercase on the app, because I don't know, but it's also uppercase on the Yamaha MusicSoft web site)-- or you can store style files on a USB thumb drive and plug it into the USB TO DEVICE port. Of course, you can also do both at the same time.
However, neither of the above will automatically make the style files available for playing; it will just make them available for loading. Some Yamaha keyboards are able to play style files directly from internal storage memory or from an attached USB thumb drive, but the PSR-E models can't do that.
Instead, to play a style file you must first "load" the style to one of the available User Style numbers. On some of the PSR-E models this is called "registering" the style, and is done through the Function menu. But the PSR-E433 and later 400-level models do this through the File Control menu, which is accessed by pressing and holding the FUNCTION button. Then you select the "Load STY" operation, select the style you want to load, and select the User Style number you want to load the style to.
As indicated by Col/
@Biggles, you also need to make sure the style files are compatible with any requirements for your particular model. This has been discussed in other threads, so you might want to look for those threads-- but basically, the style files need to be no larger than about 50kB, and need to be in the "SFF1" format. EDIT: They must also have the ".STY" filename extension, rather than any of the other filename extensions that Yamaha uses for some style files.