I came across your PSR330 question completely by chance when I was looking through the Forums.
Yes you require sequencing software. Although there are a number of freeware ones available like www.jazzware.com
I suggest you download the demo version of Cubase or Cakewalk. I prefer Cubase but its a matter of choice and you tend to get attached the workings of one or the other. The benefit in your case of Cakewalk is that you can load in and view Yamaha Style files.
The PSR330 has quite a good midi specification and it will send out all the backing \ arrangements tracks to a sequencer.
Hope this helps you a little.
[This message has been edited by Graham UK (edited 04-06-2001).]