Style files are standard midi files with specific characteristics:
1) Style sections are separated by markers. Spelling and case are important. Two initial sections SFF1 and SInt are used for setup data.
2) Notes must correspond to chord and scale tone rules. See your manual
3) Styles need to be followed by a Casm section that tells the PSR how to treat the style data.
There are many programs available for viewing, creating and editing styles and the Casm. See: http://home7.inet.tele.dk/js/musik/740pages/link7406.htm
StyleMaker is designed to work directly with Cakewalk and takes care of a lot of the housekeeping. It also allows you to view/edit existing styles in the sequencer without distroying the Casm section.