Here are the steps you can use to set up multitimbral operation on your Yamaha Montage M, so you can have different sounds on different midi channels playing at once. Of course, things might have changed over the course of many operating system updates and will continue to change.
In this video there is also some discussion as to how it's different setting up a multitimbral set up on the original Yamaha Montage (non "M" model).
• Note that I no longer have this keyboard, so I can't answer questions about it although someone else in the comments might be able to help.
∞ Recorded at Simpsonics in beautiful downtown Portland, Maine