Bear in mind that MIDI is NOT sound data, it is only NOTE data (i.e. note on, note off, duration, volume and pitch at it's simplest).
Therefore, a MIDI cable to your PC will not record the sound that the keyboard is making, for that you would need to take the feed from the Phones/Output (Page 11 of the manual, socket 26) to the Mic in of your soundcard on your PC.
I am currently using a multi-track recording software called MixCraft 4 - this has various sounds and samples built in and you use the keyboard as the midi controller for this package. Once you have your song constructed with all the various tracks on it (piano, strings, drums etc), you mix this down to a stereo image and save this as a MP3, OGG, WAV or WMA file that can then be played on any PC. Multi-track recording may be too complicated for what you are wanting to do, and initially getting your head around the concepts of Midi, audio, mixing etc can be hard, but once you do, the results can be great.
There is a good site for musicians called
Tweakheadz, he has a number of guides written in fairly simple terms for those starting out in music production.
Just be careful though, before you know it you'll have a room full of synths, sound modules, processors, mixing desks, monitors, drum kits, guitars, harmonicas ......
Iain