Hi shezza,
On SX600, you can open the Song Selection display as follows:
1. Press [Direct Access] followed by [Song Function] button.
or
2. Press [Song Function] button, then press one of the [1] display buttons (= Select).
Then use TAB buttons to go to USB1 and select the desired MIDI file on the USB stick to load it.
Hope this helps!
Best regards,
Chris