When you insert a USB drive into your PSR-E or PSR-I keyboard, make sure you wait until the "USB" indicator in the upper left corner of the LCD screen stops flashing.
To play a MIDI song file that's on the USB drive, you don't "load" it from the FILE CONTROL menu the way you must do with a style file or user file. Instead, you simply press the SONG button to enter Song mode, then use the panel controls to scroll through the list of available songs until you see the one you want to play.
You can use the PLUS and MINUS buttons on the number pad to go forward or backward one song at a time, or you can use the CATEGORY UP and DOWN buttons to skip forward or backward to the first song in each category, or you can use the dial to scroll rapidly forward or backward through the songs.
As shown on page 24 of the Owner's Manual, the songs which are in the keyboard's flash memory start at number 121, followed by the songs which are on the USB drive. These are actually two separate categories, not one as the Owner's Manual appears to show. If you haven't transferred any songs into the keyboard's flash memory-- which can be done only by using Yamaha's MusicSoft Downloader or MusicSoft Manager program-- then the "flash memory" song category will be empty and the "USB" song category will begin at song number 121. Otherwise the "flash memory" category will begin at song number 121 and the "USB" song category will begin at some higher song number, depending on how many songs are in the "flash memory" category-- e.g., if 10 songs have been transferred into the keyboard's flash memory, then the "USB" song category will start at song number 131.
In any case, the "USB" song category is the last one, so the quickest way to get to it would be to press the SONG button, then if necessary enter "001" on the keyboard (i.e., if song number 001 isn't already the currently-selected song), then press the CATEGORY DOWN button to skip backward to the previous category-- which would be the last category, since the categories wrap around in a loop-- then use the PLUS button on the number pad to advance one song at a time through the "USB" song category until you see the one you want to play.
Once you've selected the desired song, there's nothing further to do to "load" it-- you simply press the START/STOP button to start the song playback.
Let me know if this helps, or if you need further assistance.