If the PSR41 is the one for which this link points to the manual: http://www2.yamaha.co.jp/manual/pdf/emi/english/port/PSR41E.PDF

then there are two "Aux Out" sockets at the back of your keyboard. I can't tell whether these are 1/4 inch (6.5mm) jack sockets or phono sockets; either way you should be able to get a cable to take these connectors at one end and convert to a stereo 3.5mm jack at the other; you can plug the 3.5mm jack into the "Line in" of your computer and then record that to a wave file using Audacity (although you may have to fiddle with the PC mixer to get "Line In" to be routed to the Record channel of the sound card first).