Let me try to provide you with a similar scenario. For example, lets say you have a digital, stand alone recorder/player with a mic plugged into the input. At this point, you turn on the player and begin playing an MP3 or .WAV file with the player. Now, you can sing into the mic, along with the player, you can hear your voice coming over the headphones, and all this is just fine. However, because the recorder/player is in the play mode, YOU CANNOT record at the same time. If you were to press the record button, the device would switch to the record mode and could no longer play the MP3 or WAV file, thus it would only record your voice.
The same is true with any recorder other than very expensive, multi-track recording devices, or multi-track recording software, such as Audacity, which will allow both playback and record to operate simultaneously.
The S975 recorder/player is a stereo recorder/player, but not multi-track. Therefore only a single function is permitted per operation. However, you can do as Eileen suggests, which is to create a midi file, which can then be played back using the onboard midi player/recorder, which will then be fired through the sound system and allow you to record everything coming from the keyboard's audio system and save it as a .wav file. The same would be true if you played the song live, during which time you would be recording the entire contents of the keyboard's audio system.
The only other option you have is to use a multi-track program such as Audacity, which can be downloaded for FREE. It's a great program and very easy to use.
Good luck,
Gary