I didn't own a PSR-K1 and haven't get connected a music keyboard to a PC before.
But I did faced some problems connecting other peripherals to my PC.
This is the possible root cause:
It's more like a communication failure between your keyboard with you PC. The installed driver recognized by your Windows successfully, or some other conflics in the software.
Try go to your Windows Control Panel. Click on Add/Remove Hardware. Then, try install a new hardware on you computer. At this time, the computer will do an inspection for some new hardware installed on your PC. If it request to install/update a driver for you keyboard, go ahead and install it. Then, try transfer your file and it should be successfully transfered.
Else, try the troubleshooting steps based in your PSR-K1 user manual page 81.
Hope this will help.