Chico,
It should be straight forward. First, download the driver (for Win XP) at:
http://www.yamaha.co.jp/product/syndtm/dl/soft/cbxntdrv.exe It's an auto-executable file. Double-click it and inside the folder double-click the file named "setup". Now, just follow the instructions. Email me if you need further help.
Um abraço, José.