Assuming you mean a MIDI song file and not a style file, the file should already be in the SMF ("Standard MIDI File") format. All you should need to do is use a MIDI editor to change the Bank Select and Program Change messages so they select voices that are available on your Casio keyboard. The file may also contain some Yamaha SysEx messages, but the Casio should ignore them.
On the other hand, if you do mean a style file (or "rhythm" file as Casio calls it) rather than a song file, that's a different matter entirely. There are people who know how to do that, but I'm not one of them! There's also a program that can do it for you, but it isn't free:
http://www.emc-musicsoftware.de/eng-shop/eng-dscstw.htm
You might want to check out the following search results, as some of them might help:
https://www.bing.com/search?q=convert yamaha style to casio
EDIT: I apologize; I thought the program I linked to could convert other companies' style files to Casio's rhythm file format, but on closer look I don't see Casio listed!