I'm unfamiliar with the PSR-295, but I looked at the owner's manual.
I have a PSR-E433 and PSR-E443. On those models when you record your performance to a User Song it saves the song as MIDI data in the computer's flash memory, but the song isn't saved as a MIDI file per se. To transfer the song to a computer you must first convert the recording to an SMF ("Standard MIDI File") using the keyboard's "File Control" menu, which saves the SMF to a USB thumb drive. Then to transfer the SMF to a computer you must plug the USB thumb drive into the computer and copy or move the file from the USB thumb drive to the computer's hard drive.
The Musicsoft Downloader program is more for transferring a MIDI file from the computer to the keyboard. You can also transfer the song back in the other direction (i.e., from keyboard to computer), but only if the MIDI file was originally transferred to the keyboard using the Musicsoft Downloader, because in that case the song (MIDI file) is stored in a different place in the keyboard's memory-- when you record a User Song of your own on the keyboard, the song's MIDI data goes somewhere else in memory.
Unfortunately, I don't see anything in the PSR-295's manual that mentions converting a User Song into an SMF, so I don't know whether you can do that.
However, on some models you can use the Musicsoft Downloader to copy the keyboard's "Backup" memory to your computer, and this Backup memory does include any User Songs you've recorded. But apparently there are some models that don't let you copy the keyboard's Backup memory that way. I don't know if the PSR-295's Backup memory can be copied to computer-- if it can, it should show up as a file on the Musicsoft Downloader's screen display when you look at the keyboard's "System" memory. If you can manage to copy the PSR-295's Backup to your computer, then it might be possible to extract the User Song's MIDI data from the Backup and save it to an SMF. I'm not familiar with the format of a PSR-295 Backup, but I've spent a good deal of time deciphering the format of PSR-E433 and PSR-E443 Backups, so if you can save the Backup to your computer then I might be able to help you go from there.
On the other hand, there should be two alternatives:
(1) Rather than recording your performances to the keyboard's internal memory using the keyboard's built-in song-recording functions, connect your keyboard to a computer and record your performances directly to a DAW. This is the better approach anyway, since you can edit or manipulate the recordings (MIDI data) once they're in a DAW.
(2) For any songs you've already recorded to your keyboard's internal memory, you can probably output the song to a DAW and record it. Connect the keyboard to a computer, then use the keyboard's Function menu to set the "SongOut" function to "On." Make sure the DAW is set up to accept and record MIDI input from the keyboard, then play back the User Song-- this should transmit the song's MIDI data to the DAW so it can be recorded.
Edit: In looking further at the PSR-295's manual, I see a reference to a "BulkSend" function on page 64. It sounds like this might also be used to send the User Song data to a computer.