All of the major sequencers can multitrack record midi, but they all do it slightly differently so you need to read the manual and/or go to the web forum for your particular sequencer and ask how.

However, as Rikki says, if you simply record the performance on your keyboard and then save it as a type 1 standard midi file, you can then load that into any sequencer and have it come up with all the tracks laid out separately.

Tom

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Bigger is not always better