The problem was that the USB driver delivered with the piano is outdated (version 1.6 12/2002). With my laptop causes a complete crash of the operating system (Win2000 SP4 on an IntelCentrino 1.4Ghz CPU) !!!!
I actually had to reinstall part of my drivers after the crash.
After a short research on yamaha's sites I discovered the upgraded version of the USB-Midi driver (2.0.9) that works fine now. Check out at:
http://www.yamahasynth.com/download/midi_driver.html

Have a nice day,
Alex