If you want to record MIDI data you have to hook the keyboard up to the computer somehow. The old way was using MIDI cables and an interface. Now they just have a USB connection, so you don't even need the interface. Then you need a software program that records MIDI data. Cakewalk (Sonar) for windows, Mark of the Unicorn's Digital Performer for Mac. Something like that. And you have to set the software up so it knows you keyboard. You can import lists of what numbers are what names. Then it's just a matter of learning the software and playing the keyboard. Haha... just a matter of... sounds real simple.
If you want to record the audio from the digital piano, you just plug a stereo cable into the headphone jack or the audio L/R outs and into whatever you use to record. Or some of them have digital outs and then you can record pure digital out of the keyboard into the recording device's digital in.
Of course... that's all overlooking that your keyboard might have an option to record on the keyboard itself, but that would be in the manual.
Most likely I would guess you need at least two MIDI cables (IN/OUT keyboard), a usb cable, MIDI interface, and the MIDI recording software. Or just the usb cable and MIDI software.
Anyone have ideas for good MIDI software? I've used Cakewalk and MOTO DP.
There are free MIDI programs but I think you get what you pay for. More ability with better software, rather than some freebie offbrand.
Some of those MIDI programs also record audio on your coputer, but that uses more CPU power to record audio. MIDI data is barely anything. It's just 1's and 0's information. Actual audio can take up a lot of space and computing power.