Make sure you have the stereo audio cables Radio Shack #42-2387A, 1/8 to 1/8 stereo miniplug. See page 86 in the owner's manual for PSR500 and follow the instructions and that should do it. Make sure to use STEREO plugs.
1. Connect the two scanners via a stereo patch cord between their PC/IF jacks
2. Turn both scanners ON
3. On the scanner whose contents you want to duplicate (the "source" scanner):
a. press PGM F3 ("GLOB")
b. scroll down to the "Clone Send" item (3rd from the top)
c. press SEL