Useing a Midi File

I am trying to learn how to use Notation Software, and I need a lot of help, First let me explain I have the Tyros 3 Keyboard, and have connected to the Computor , No problem. I have downloaded the Midi, from Midi notation, Always on my mind, Ok, It plays back ok through my Keyboard, I then tranfered to a pen drive, , then put it into the keyboard,
When I tried to play back from the keyboard, that sounds that were set-up and played back on composer, was Just a backing sound you might say, Can any one help on this one please.

Dannyboy