Yamaha's 'full' MFD for the T5 contains 1825 records, but there is no record for ‘State Of New York’!
I wonder if the record is supposed to be for the song 'New York State Of Mind' but was copied from an old MFD which used 'cryptic' song names? If this is so, then there is already a record in the T5 MFD for this which uses the 'Slow&Easy' preset style (Ballad category) at 72 bpm.
Your screen shot shows that you have 1828 records in your MF, 3 more than the original Yamaha MFD, so the ‘State Of New York’ record is presumably one that has been added either by you, or whoever provided the MFD file.
This means that reloading the Yamaha T5 MFD will not help you with this record, other than removing it of course!
The message 'Style (or 'Song' or 'Audio') file lost' normally means that either the file is no longer in the storage location (drive/folder) that it was in when the MF record was saved, or that the file was stored in a USB device which is no longer connected to the keyboard. In the latter case, simply connecting the relevant USB device will 'restore' the lost link if you try the MF again.
However in both of the above cases, the the 'Style' column of the MF record as shown in the main list will still contain either a Style name, or '(SONG)' or '(AUDIO)', unlike the empty field in your screen shot!
You can try selecting the record, clearing the error message and then pressing 'Record Edit' to open the Edit display. This would normally show the details of the 'lost' file, however in your case I suspect that the 'Style' field on this page will be empty!
So I suspect that unless you or someone else knows a suitable style for ‘State Of New York’, the best thing to do would be to simply delete the record from the MF.
Regards
Ian