Pete is talking about the serial host connector. This requires a different cable to the midi connection, and a dedicated driver that is supplied with the cable, or available off the net. The driver for midi is supplied with the pc soundcard and is generally already loaded on most pcs.
Both midi and host connections are entirely interchangeable in functions. Midi is easier if you have several instruments in a chain, host is easier if you have no soundcard or midi interface in your pc.
The connections on the sx6 are different. They require the Techmanager software from Keysoft and enable to you backup the sx6 hard disk, copy multiple files to the keyboard from the pc and edit the directory structure, custom lists, filenames, print out the contents etc etc. The present version works via the parallel port only, a usb version was promised at some stage!