Again that appears to be a "controller keyboard" - that is, it produces
MIDI messages rather than producing actual sounds.
Audacity records sounds, not MIDI.
It
IS possible to record sounds using a MIDI controller keyboard, but that requires using a software synthesizer of some sort. Programs such as Cubase are designed to do this as they can "host" the software synth and record it - Audacity can't do that. Audacity
may be able to record a stand-alone software synth, but configuring the computer to do this can be a pain.
If you particularly want to use Audacity, you need to use a keyboard that produces
sound.
A while back I picked up a cheap second hand Yamaha keyboard which has built in sounds and drum kits for less than $10 - it's not brilliant but it works.
Here's one for under $50 from a quick scan on Google:
http://www.pawnmart.com/?itemid=98784308878