In case it didn't come with the piano...
http://www2.yamaha.co.jp/manual/pdf/emi/english/cla/CVP65E.PDF should be a good place to start!
Sounds like you can format the disks from the piano itself. I can't remember if you can format HD discs as DD in a DD only drive....if you want DD discs you should try asking a mate who used to have an Amiga 500 or something if they have some old discs you can reformat, this is where I can remember having problems with the two formats, failing that, ebay.
As for the PC to MIDI, good shout, you would need a sequencer. Cubase is the nuts when it comes to that as far as Im aware....I only do the opposite (using a keyboard to send notes into the PC then using VST plugins in Cubase for the playback. Looks a nice beast the yamaha though....
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