SYSEX stands for System Exclusive. As you are probably aware, the Yamaha DX7 is equipped with MIDI ports, allowing it to communicate with other MIDI equipment, regardless of manufacture.
SYSEX however, is a part of MIDI which is more specific to the type of equipment being used. In other words, in the case of the DX7, it is a facility for allowing one DX7 to send its sounds (patches) to another DX7.
But, you can also use SYSEX to store and upload your sounds to and from your PC, using a PC MIDI cable (normally around $25) and some software, as included in this website. There is also software available on this website for editing DX7 sounds directly from a PC too.