As Jim said, the only audio files that Tyros2 can play are '.wav' format (Stereo PCM, 44.1 kHz sample rate, 16-bit resolution, max. length 80 minutes). It can't play mp3 or any other compressed format!
Even audio of the correct .wav format can't be played directly from USB. In order to play a file it must first be imported from USB onto the keyboard's internal hard disk (if fitted!).
As an alternative, you could play the audio from a personal audio player and connect it's output to the T2's 'Line In' sockets using a suitable cable. This will allow you to play along with the audio and even record it to the hard disk, and will be mixed with the output from the keyboard allowing you to use any speakers that are connected.
Regards
Ian