Hi Gobbler-
Er, what exactly are you looking for to happen? You say you want to record the keyboard. And that you hooked up the midi port.
OK- I don't want to insult you intelligence, but you said record and then midi. You do realize that midi data is not audible? Midi is just data. It consists of information like note on/off, which note, how loud, duration, etc. This data is then sent to a "midi sequencer", which will then play the selected note from a bank of sample notes for the selected instrument (organ, or trumpet, or whatever synth instrument you have selected) But midi itself is not audio and you can't hear it. To record and playback a midi sequence through the midi ports you're hooked to, you'll need a program that does midi sequencing. It will record this data steam from the keyboard and play it back through the keyboard (or another synth module or keyboard).
If you want to record audio, then you have to hook up the AUDIO outputs off the keyboard to the "line in" on your computer soundcard. Then you need some audio recording software, and you can record the audio to the hard drive and later burn it to CD if you want.
Hope this helps 8)