Just to be pedantice, you do NOT 'transfer' the midi file from the computer to the keyboard.
You need to 'play' the midi file, using anything that can play such a file, as noted above. You need to ensure that the computer is sending the data to the USB port, it may well default to sending the data to it's own internal virtual synth and NOT to the keyboard.
Which USB/midi interface have you got. See other corresp here about the cheap ones you can get, which are NOT reliable. They sometimes seem to work, but they garble the data (or some of it).