Just to be sure I look at the correct manual, do you mean the PSR-3000 or PSR-A3000?
Also, you say the folder name is displayed. Have you gone into the folder (selected it) on the keyboard?
When you insert the USB flash drive into a computer, what do you see inside the folder?
How many files (MIDI or otherwise) are inside the folder?
Is the folder that contains the MIDI file inside of another folder?
What is the name of the MIDI file?
Are you able to open and play the MIDI file on your computer?