How are you listening to the songs? You should be able to point to a demarcation point. The connection to your speaker system or headphones is a good one. Instead of sending the sound to your headphones, send it to a sound recorder or second computer for recording in Audacity.
That connection is the demarcation point where the show stops being MIDI data and starts being Sound. Audacity is on much firmer ground then.
Audacity, can help out later in the process. For example, if one of these programs can save to a midi/wav/mp3 file, then Audacity can usually import this midi/wav/mp3 file. Also if the program can play through your PC’s speakers, Audacity can usually record from a loopback of your PC’s output.
No, a MIDI expander has nothing to do with this issue.