As Geoff said:
- Korg -> Midi -> Yamaha
- Yamaha -> audio -> Korg
The Korg's keybord generates (digital) MIDI messages, which you can send to the Yamaha. Yamaha's synthesizer turns them into Yamaha-specific sound, i.e. (analog) audio. Just connect the audio to the Korg's audio-input, like you'd do with your 'ancient' stereo equipment.