Press the MEDIA button which shows you which devices are plugged in and then press the device in question.
Highlight the files you want to Copy or Move.
I'm a bit hazy as I haven't used mine for a while due to a damaged cable but you should find your way from there.
Ketron should develope a file manager though because the MidJpro badly needs one and include it in the next update.
Easiest method of moving a lot of files is to connect it to a PC and work on it through your computer.