Are you sure that the Korg is recording .wma files, instead of .wav files. .wav files are extremely large. Most digital multi tracks use .wav files, or a variation of them.

Is there a CD burner on the Korg? If not...Gary’s idea of using a splitter to record the audio in your computer, or using a cheap audio interface (Behringer makes a decent one for $29) is probably your best option.