Firstly you would like the delete the other post.
Connect a Pen Drive to you Keyboard.
Locate USB Audio Player.
Then you can record in MP3 or Wave.
You can record live performance or have a Midi song record to the USB audio ( wave format )
Take the recorded files to your pc.
A free Software like ( BurnAware ) can burn it onto a CD
Hope this helps you. Regards Norman.