Straight from the Yamaha (US) web site:

LAN Port for on-line, on-demand music
You'll need your computer to activate an account, but once that's done, you can browse through Songs and Styles and download music directly into your keyboard, play it, score it and learn it — no computer required. All you need is an appropriate high-speed Internet connection (not dial-up) and network, and you have full access to the convenient Internet Direct Connection services.


So sounds like you need a broadband connection using some form of router that has a LAN (CAT5) connector.
Then a CAT5 cable to connect them together.