Use the file utility called MusicSoft Downloader. It is linked on the CD that comes with the PSR-3000. Just insert the CD and let it autorun and from the resulting menu click on MusicSoft Downloader. This will take you to the Yamaha site where you can download the program. If you don't have the CD here is the link anyway:
http://music.yamaha.com/productViewAllDownloads.html When you have downloaded the file install it in the usual way and it should give you an icon on your desktop to run it.
It works fine and will transfer any files to and from the PSR via the USB link to PC. You must ensure that the PSR is switched on and that the USB cable is connected to the PC. Don't confuse this with MIDI cables or the USB device connection.
When the program is up and running you will see both the PSR storage available (User, Card, USB1, USB2, etc) and, in another area of the interface, the PC drives, folders and files. You can drill down into these and select the file(s) you wish to transfer.
The program calls the transfer "Move" and stores any selected files into a temporary storage area for you to move between the PC and the PSR.
No need to remove your SmartMedia card or thumbdrive or whatever else is used for storing your files on the PSR. MusicSoft Downloaded will happily transfer files between them at USB1.1 speed.
Have fun