Sorry I'm at work and it's been a while to try from memory but I believe you just need to hit yes again in order to actually load one the eight files into the DX.
Oh, and you definitely need to turn the memory protection off. I'll go thru the steps tonight and get back to you tomorrow. If you've gotten this far you know the drive works so you're almost there.
And one more thing, make sure local control is on, if that is off only midi in control will play the DX and not the keybed.