I assume you want ot use a SMF file as a rhythm file (.ckf file).
The only way I found is a bit tricky (without using the onboard rhythm editor - which I haven't figured out on my CTK-7000 yet!!)
Pretty sure this is the same for CTK-5000 so here goes:
Create you rhythm file as a SMF using any midi editor (eg Anvil)
http://www.anvilstudio.com/
You can only use tracks 10 (for drums), 11 (for Bass), 12,13,14 (for chords)
Save the midi file (.mid)
You then need to use the Casio IDES (try v4. if not og, try v3, if not try v2)
http://www.casio-europe.com/euro/emi/cms/
Have a look at the instrucitons for "Rhythm Converter" (it takes a bit of reading and doing to to understand). You have to select the instruments in the Rhythm Converter (unless you have figured out a way to tell it with a control seq in the actual midi file - haven't figured out how...)
http://www.casio-europe.com/euro/downloads/emi/ides_mdms_de.pdf
This program lets you convert form a .mid file to a .ckf file (the Casio Rhythm file)
Save the .ckf file to your hard disk.
Then finally use the Data Managaer (v5.0) to transfer the ckf file into the rhythm section of your CTK5000
http://support.casio.com/download.php?cid=008&pid=340&rgn=5
It all sounds hideously complicated, but not too bad once you get the hang of it.
The Y-man