I'm assuming that the new battery is full.
The battery in a DX7 is responsable to keep the settings still. When you remove it, All the settings of the sounds are cleared.
There's no way to get the sounds back.. I hope the sounds were not your own works..

If you pluged the battery properly, and it's working, there's no problem until it gets empty..

The loading/saving of sounds (The literal name is "bank") is the simpliest thing.
All you need is a MIDI port, MIDI cable and a SYSEX handler program. (Cubase, Cakewalk, WinSYX, ..)

With DX7 you send/recive all 32 sounds (a bak) and one sound (a voice).

To send something, you need to set the "SYS INFO" to "AVAIL" mode.. (how ? ok. "FUNCTION" + "8" and "8" again)

when receiving something you need to set the "memory protect" to "OFF", in order to keep the voice/bank in your keyboard.

If you need more detailed informasiton (especially on battery problems), it will be sefull to have a look at DAVE BENSON's DX7 page.

DX7 Not a keyboard, it's a dream under your fingers...