Well, the keyboard that's being used in that video is a Roland, not a Yamaha YPG-235. But more to the point, I don't see any built-in speakers on that keyboard-- at least, it doesn't have any speaker grilles that I can see-- so the sounds must be coming from external speakers. And even if it did have built-in speakers as the YPG-235 does, it might not have a stereo AUX IN jack, or pair of L/R AUDIO IN jacks, or other means (such as USB audio) of playing an external audio source through the built-in speakers.
For example, the PSR-EW300, PSR-EW400, and PSR-EW410 have AUX IN jacks as well as USB audio, so you would be able to play the sounds coming from the Proteus through their built-in speakers. Those aren't the only Yamaha models which could do that, but the other models have 61 keys rather than 76 keys, so I listed the ones that have the same number of keys as the YPG-235 (although they are different types of keys-- synth-action diving board keys versus piano-action box keys). The PSR-EW400 or PSR-EW410 would be the closest to the YPG-235 in that they both have a Pitch Bend wheel like the YPG-235 does, whereas the PSR-EW300 does not.
The simplest solution would be to play the sounds from the Proteus through the computer's speakers, unless you have a stereo system that you could connect it to. You would need an appropriate stereo cable or pair of mono cables, plus any special adapters as needed, depending on the types of jacks which the Proteus has and which the computer or stereo system has.
Current keyboards: Yamaha YPT-400, PSR-E433, PSR-E443, PSR-EW400, MX49 BK
Current controllers: M-Audio Axiom 61-II
Previous keyboards: Farfisa Matador 611; Casio CTK-710