I have the combination you are talking about, Win500 and the PSR-500 and the solution is to save the settings to your PC's hard disk.
So you could dump the radio contents to Win500, save the Win500 to disk using any name you want to call the save file. It will save the file to the same folder that Win500.exe lives in. Then you can download another county to Win500, make whatever changes you want, save it to disk again, then upload to PSR-500. This will upload everything, and it is all saved on your PC's disk for backup or to start a new addition to your existing data.
BTW, the Win500 has no help or complete documentation, sounds like that is standard for the territory of scanner software. The forums are their chosen approach to a help desk, ie. do it yourself.
Regards, Throck.