Open Devices > MIDI Device Manager. CLick to Install Device. Select Yamaha PSR-S970, and click OK. Back, in the MIDI Device Manager, select the MIDI Output (at the bottom of the window).
Add a MIDI track. As an Output, select Yamaha PSR-S970. MIDI Channel is set to 1. In the Program Selector, you can select the program (sound) directly. Add another MIDI track. Make sure, the output is set to Yamaha again (it should by automatically). Make sure, the MIDI Channel is set to 2 (it should be automatically).
Appart from MIDI connection, make sure, the Line Out from your Yamaha is connected to the Line In of your sound card. Add a Stereo Audio track, to be able to hear (and record) the audio signal from your Yamaha and mix it with virtual instruments from Cubase.