Hi yammy fan,
when you want to save something you see 2 tabs on your keyboard:
1)USER (This is the "drive" Fred has mentioned)
This tab is internal keyboard's memory that allow us to save regs,styles,voices,midis,pads etc. and it is limited.
2)USB1
Here you can save as much regs as you wish because it is the memory of the usb stick you have inserted in front of your keyboard and that's why we use usb sticks.To have unlimited space to save our "stuff".