Hi, Micco. I haven't used the To Host interface - I just use MIDI. I also use Windows. I think the main difference is connection speed - the To Host is said to transfer data faster than MIDI.
To use the To Host connection with a Yamaha keyboard, you need a special cable from Yamaha - it costs around $16, I think. For PCs, one end connects to the serial port of the computer, and the other end goes into the To Host port of the keyboard. There is a switch on the back of the keyboard which needs to be set to "PC2" on a PC.
You also need to install a software driver if you use Windows, and it should come with the keyboard (I have a PSR-740, and my driver was on the data floppy that came with it.)
For Macs, you also need the special cable. You connect from the modem or printer terminal on the computer to the To Host terminal on the keyboard, and switch the switch on the keyboard to "Mac".
My manual also says you need to set the MIDI interface clock in your sequencer software to 1 MHz. This may vary with different software.