There are three ways you can play external MIDI song files with your PSR-E433:
1) Save the MIDI song file onto a USB flash drive and insert the USB flash drive into the USB TO DEVICE port. You can then play the song directly from the USB flash drive.
2) Connect the keyboard to a computer using a USB cable plugged into the USB TO HOST port. You can then play a MIDI song file on the computer using a DAW or a MIDI player and have the keyboard play the notes.
3) Connect the keyboard to a computer and move the MIDI song file from the computer into the keyboard's internal memory using the Yamaha MusicSoft Downloader program. You can then play the song directly from the keyboard.
There are several things to be aware of:
Not all USB flash drives are compatible with the PSR-E433-- in particular, USB 3.0 flash drives are not compatible, and it's possible that some USB 1.1 or 2.0 flash drives might also be incompatible. It's recommended that you refer to the list of compatible USB flash drives which is posted on Yamaha's web site.
When you insert a USB flash drive into the USB TO DEVICE port, you must wait for a bit while the keyboard mounts the drive. The "USB" indicator will be displayed in the upper left corner of the keyboard's LCD screen when the drive is ready to use.
To play a MIDI song file directly from a USB flash drive, the file must be placed in the drive's root directory, or inside a folder within the root directory (called a "first-level" folder in the Owner's Manual), or inside a subfolder of a first-level folder (called a "second-level" folder in the Owner's Manual).
The only way to load a MIDI song file into the keyboard's memory is by using the Yamaha MusicSoft Downloader program, which is available for free from Yamaha's web site. If you're using an iPad instead of a computer, the equivalent program is the Yamaha MusicSoft Manager app, which is available for free from Apple's app store.
When you load a MIDI song file into the keyboard's memory using either the MusicSoft Downloader or MusicSoft Manager, the file is physically moved (not copied) from the computer or iPad into the keyboard-- i.e., after the move operation has completed, the file will no longer be present on the computer or iPad. Therefore it's recommended that you always make a backup copy of the file on the computer or iPad before you transfer it to the keyboard.
The MIDI song file must have a file extension of .MID-- if the file has an extension of .KAR (karaoke), it must be renamed to the .MID extension or it will not be displayed.
When you press the keyboard's SONG button and scroll through the available songs, any external MIDI song files will be numbered 111 and above. In this case, "external" means any song that is not built into the keyboard, so any files that have been transferred into the keyboard's memory are still considered to be external files.
Unless the MIDI song file uses only GM voices, it's possible-- even likely-- that some of the voices used might not be available on the PSR-E433, in which case they should default to an equivalent GM voice. It's a good idea to use a utility program to examine the voices and effects (e.g., reverb and chorus types) used in the MIDI song file and edit them as needed to pick the best-sounding voices (and effects types) which are available on the PSR-E433. That process can be somewhat involved, so it's recommended that you do not worry about it until after you've gained some degree of familiarity with using your keyboard and have learned about its MIDI features.