Follow the directions in the readme, skip the part about backing up your data.

From the readme:

Updating Procedure

NOTICE:
All User memory (Library data, User data, User sample and so on) will be initialized by this updater.
Please make sure that you save all User data to a USB flash drive before performing this update.
Library data cannot be backed up. Please prepare the original library data.
In addition, when you load backup data, load libraries first before the user data.
[J COMMENTARY FOR ABOVE - only if you care about losing data. If you have no user created data to lose, then skip this]
[J COMMENTARY #2 - If, unlike Benjamin, you do have user data - even if the whole world says you will not lose data by upgrading firmware - PLEASE treat this as an opportunity to create a backup of your data even "knowing" nothing will be erased. If you backed up every time you made a change - this would be best. Every day - slightly worse - but OK. Once a week ... you get the point. A minimum amount of backups would be once every firmware upgrade. The rationale is therefore not because you're afraid of losing anything from the upgrade - but so that you have a backup in case something else happens to at least go back to the last image you had during the last firmware upgrade]

Required Items
- One USB flash drive of over 1GB capacity formatted on the MONTAGE

1. After downloading, copy the following uncompressed files to a USB flash drive that has been formatted on the MONTAGE. No other files should be present on the USB flash drive.
8N70OS_.PGM

2. Power off the MONTAGE.

3. Connect the USB flash drive prepared in step 1 to the [USB TO DEVICE] terminal of the MONTAGE. Power on the MONTAGE while holding down the [Cursor UP] and [UTILITY] buttons until the "YAMAHA" logo appears on screen.

4. The MONTAGE OS updater will begin with the message "Searching for the updater..." and "MONTAGE updater *.**.*".
When the message "Finish. Please turn off." appears, turn off the MONTAGE and remove the USB flash drive.

WARNING:
DO NOT power off or remove the USB flash drive from the MONTAGE until the "Finish. Please turn off." message appears. If power is accidently interrupted while running the updater (by disconnecting the AC cord, etc.), the unit may become inoperable. If this happens, run the updater again. If the unit still does not function after doing this, please contact your nearest Yamaha service center.

5. Power on the MONTAGE.

This completes the update process.

I'll add: buy a USB 2.0 stick of 4GB or less that is dedicated to upgrading Montage. The size is recommended mainly to dissuade from using to store anything other than the PGM update file on the stick. Adding USB 2.0 since that has been shown to make a difference. Montage is a USB 2.0 device and some have had problems with USB 3.0 media.

Thank you! INSTALL worked great !

Stupid question. Everyone keeps saying make a backup. So I put in my formatted USB drive, go to Utility -> Contents -> ???

I can't seem to figure it out. I know I did this once before.

When I download Connect software to do it that way, I get an error about Firmware.

0) Insert supported USB stick you use for backups
1) [UTILITY] Button
2) Touchscreen (TS): "Contents" -> "Save/Store"
3) TS: Touch "Content Type Area - brings up a side menu
4) Select User File, Library File, or .mid file depending on what you want to backup
Note: user file is most important, Library File(s) you may already have X7L files saved somewhere else (already backed up) from earlier library installation, or no library slots used in some cases. Usage can be found under "Contents" -> "Data Utility" for each category.
--- if you have v1.50 or newer, you can select an "All" file which will generate an X7A and save everything at once as a backup. This would be a preferred method for complete backup purposes.

Some background on what's saved (excluding "all" file): https://www.yamahasynth.com/forum/total-backup-of-the-montage
Previous message w/instructions: https://yamahasynth.com/forum/saving-user-performances#reply-13290