If you are wanting to record audio from the keyboard, you need to connect an audio output from the keyboard into an audio input of your sound card / audio device.
Thanks for that Steve. I thought it did record from Midi. I have tried plugging the audio output into the input on my pc Dell XPS8960 and it doesn’t connect.
You need to connect an audio output from the keyboard to the light blue audio input on the back of the XPS. The light blue socket is a stereo mini-jack input.