Micco, here are some things to check. first, make sure the files you are trying to play have a .MID extension at the end of the file name. You can check this by looking at the files on your computer. Your computer may have some programs loaded that will recognize a MIDI file with another extension, and play it. The PSR will only recognize files with a .MID extension at the end of the name. If you find a different extension at the end, try changing the name to one that ends with .MID and see what happens. It is also possible that when you are downloading the files, you are saving them as HTML documents, instead of MID files. This is an easy mistake to make when downloading files thru your web browser. You can tel which type of file you have by right mouse clicking on the file name and selecting "information" The file type shoud be MIDI file, any other will not play, even if you rename it. Try these things out, and let me know what you find, and we will go on from there.
Hope this helps,