You just need to connect the the output from your MZ-2000 to the line input on your computer. You probably will need to buy an adapter to convert the cable from your keyboard to the mini jack input on your computer.

You will have to play around with the input/ouptut levels to get a clean but hot sound and then record it on your computer using audio recording software. You will save out .WAV files that you can then write as tracks on a CD.