As Robert said, there may be a way to simply transfer the file via some kind of bulk data send function in your keyboard. You will need to check the manual for that.
Failing that, you could "record" the data by setting up however many midi tracks the file has and assigning the inputs of each one as midi channel 1, midi channel 2 etc... Then on your keyboard go to the midi transmit settings and select what you want to transmit one each channel. ie midi channel 1 = song track 1 etc.
When your done, arm your midi tracks as usual, press record then play the file on the keyboard in real time. Bear in mind that you may have to fiddle with the drum midi if you reassign to BFD, EZDrummer etc as the notes won't necessarily line up, but it's easy enough to drag them to the correct note in the PRV mode if you don't want to get into drum mapping.
OR........if the songs in question are midi files of commercially released popular songs, it might just be easier to download it from the many www sites that offer midi files.