Hello..........You need to install a Yamaha CBX driver. This allows your computer and PSR630 to communicate with each other. After installation you might have to change your computers MIDI out to CBX driver. In Windows this can be done in Control Panel/MultiMedia.
Select the MIDI tab and set your MIDI out driver to Yamaha CBX. I had the same experience with my CS2X. Go to the link below to download the driver for free. Good luck.
http://www.yamaha.com/ycaservice/group019/fgrop019.htm