The PSR-E433 doesn't have a function for loading MIDI song files from a USB thumb drive into the keyboard's memory and saving them. Rather, when you select a song from the thumb drive the keyboard reads the song into memory for playback.
On the other hand, if you want to store a song file in the keyboard's memory so it will be available without needing to have a thumb drive inserted, you must connect the PSR-E433 to a computer via a standard USB cable and use the Yamaha Musicsoft Downloader program to transfer the file to the keyboard's memory. The Yamaha Musicsoft Downloader is available for free from Yamaha's web site, including a document on how to use it:
http://download.yamaha.com/search/p...ry_id2=16084&category_id3=&product_id=1629835
Look for "Musicsoft Downloader" (the fifth item listed) and "Computer-related Operations" (immediately below "Musicsoft Downloader").
If you're using an iPad or other compatible iOS device, there's a free Yamaha MusicSoft Manager app available from Apple's app store, which is the iOS equivalent of the Musicsoft Downloader program for Windows.
If you're using a Mac, I'm not sure whether there's an equivalent program available for the Mac OS. I know there isn't one for Linux or Android.