If you play back the recorded MIDI file (SMF or .mid file) on your laptop or PC, it will by default play the file through the built-in GM synthesizer, NOT the PSR. These are invariably poorer in quality than the PSR.

You will have to set up the USB to transmit the MIDI from your laptop or PC to the PSR (if it is capable of this) or use a MIDI interface and send the MIDI down a MIDI cable to the PSR's MIDI ports (if it has them).

I am a Mac user, so you will need someone fluent in Windows to step you through this...