First of all, welcome to the forum!
Just to be clear, the Music Database doesn't play songs by itself. Instead, it merely sets up the keyboard so
you can play the song. In particular, it selects a predetermined voice and style and tempo which Yamaha felt were well-suited for playing that particular song.
You must play the song's melody yourself, which includes obtaining the sheet music for the song on your own, or perhaps playing the melody by ear-- if you're able to play music by ear, which is a very handy skill for a musician to develop.
The style will not begin playing its rhythm, bass line, chords, etc. until you play notes in the accompaniment section of the keyboard (i.e., the keys which are to the left of the split point), and you must control the accompaniment's key changes and chord progressions yourself, as well as the section changes (e.g., switching from the "Main A" loop to the "Fill A->B" bar).
Now, if you're pressing keys in the accompaniment section but the style isn't playing, check the Split Point function setting to make sure you haven't got it set too far to the left. If the Split Point setting is okay, check the Style Volume function setting to make sure it hasn't been turned down too low.