I haven't studied the manual in depth yet, but after glancing at it and checking Yamaha's downloads for the PSR-3000 I'm going to assume that this works more or less the same as on the PSR-E models that I have.
There are basically three ways you can play a MIDI song file on the keyboard. By the way, the song file can be either a "format 0" or "format 1" MIDI file-- format 0 means all of the MIDI channels being used for the song are coded into a single "MTrk" MIDI track chunk; format 1 means the MIDI channels are split between multiple MIDI track chunks, usually (but not necessarily) one MIDI channel per MIDI track chunk. [EDIT: Don't worry about that, as your MIDI sequencing software should take care of it when you save or export the song to a MIDI file-- the only reason I mentioned it is to let you know that either of those formats will work, hence you don't need to fret about whether the MIDI song file is a format 0 or format 1 MIDI file.]
The first method is to connect the keyboard to either a computer device (desktop, laptop, tablet, etc.) or a MIDI device (hardware sequencer, etc.) and play the MIDI song file on the connected device, sending the MIDI data to the keyboard. Since you asked about "how to import," I assume you aren't interested in this method right now.
The second method is to connect the keyboard to either a Windows computer device or an iOS computer device and use the Yamaha Musicsoft Downloader (Windows) program or the Yamaha MusicSoft Manager (iOS) app to transfer the MIDI song file to the keyboard's internal memory. It should then show up in the "USER" category when you press the "SONG SELECT" button on the keyboard.
The third method is to put the MIDI song file on a USB thumb drive or smart card and insert the media into the appropriate port of the keyboard. You can then press the "SONG SELECT" button and the MIDI song file should show up in either the "CARD" (smart card) or "USB1" (USB thumb drive) category.