With the Tyros 2 you can't sample directly into the keyboard, it only offers you sample playback.
You can however import any WAV or AIFF that you have prepared previously into the T2 for editing.
Using Pro Tools, Sound Forge or some other audio editing software is best, or you can also use sounds from commercial sample libraries as long as they are in these formats.
It's not any easy process, but you basically call up the Wave import menu which is found under the voice creator option. You then select one of the elements shown, add the WAVE (.wav or .aif) and press file import.
The fun part is setting up the parameters.
I can't really type to explain it as it's far easier when you are sat in front of the T2. If I remember correctly page 94 goes through the entire process.
It would have been nice if Yamaha had gone into more depth regarding using your own sampled sounds, but I'm guessing with the quality of the internal sounds they possibly didn't think many would be interested in creating our own?