I don't see anything in the manual about being able to transfer files to or from the keyboard, so I don't think it can be done.
On the other hand, you should be able to play a MIDI song file on the computer using a standard MIDI application, such as a DAW or other sequencing software or MIDI player, and have the computer transmit the song data-- that is, which notes to play and which sounds to use-- to the keyboard so the keyboard will play the song.
However, I don't see anything in either the manual or MIDI guide about how to select which MID channel to use for lighting up the keys, so I don't know whether the keys will light up in response to received MIDI data.
Note that there are a few programs which are designed to help people learn how to play songs on a keyboard, so you might want to try using one or more of them to see how well they work for you.
One such program is PianoBooster:
http://pianobooster.sourceforge.net/
Another such program is Synthesia:
https://www.synthesiagame.com/
If you want a program that can display a MIDI song file as sheet music and play it back to your keyboard, you may want to check out Notation Player 3:
https://www.notation.com/DownloadNotationPlayer.php
But there are many other programs out there which can play back MIDI files and send the data to your keyboard, as well as programs that can be used to record MIDI data being sent from your keyboard to your computer.
