I own Yamaha s90es keyboard. I would like to connect it with external midi keyboard. Should I connect it with usb cable or 5pin midi?

Connect them by 5-pin MIDI cables. The USB port cannot be used for connecting directly to another keyboard device, at all.

Set the MIDI IN/OUT = MIDI

What I would like to achive is that I can send different sounds from my master s90es to an external midi keyboard. If its possible, can
I do it in performance mode and for example have 2 sounds on s90es and 2 sounds on external keyboard? What about multi/seq mode?

You cannot send sounds ever between keyboards. You can use an external MIDI controller to trigger the S90 ES sounds, do that the S90 ES keys trigger one sound and the external MIDI keyboard triggers another sound.

This can happen in the MULTI/SEQ mode only, because in this mode you can place Voices in PARTs and each PART can be set to receive on a specific MIDI channel.

So you could trigger S90 ES Parts assigned to MIDI channel 1 when you play the S90 ES keys and set your external keyboard to transmit on MIDI channel 2 and have the S90 ES respond with a different set of sounds set to receive on channel 2. But all sounds come from the S90 ES. And this must take place in MULTI a mode (called MULTI because sounds can be placed and addressed on multiple MIDI channels.

MIDI is not sound. MIDI triggers sound. It may be semantics but it's important to understand what is going on.