What you want to do is possible. If you notice, when you play notes on the Casio...to use the 'full keyboard', you want the 'mode buttons' all off. This allows all the keys to be used. You will also see that the 'channel 1' is the one that the keyboard uses, when you are playing on it. Make sure the volume is set up (mixer button/ cursor down to volume level...127 is all the way up). Make sur that the midi file isn't using channel 1 for the midi file (if so, just reassign the midi track to another channel).
Also make sure that you don't have the 'local keyboard' turned off (transpose button/cursor down 1, then cursor right to 'on/off Local') You want the local 'on'. Also, make sure that channel 1 has a tone set on it that is working (the 'user tones' may be blank...and won't make any sound). If you still have trouble, post again.
Also, check out the Casio User Forum at: http://www.originalz.com/casio/casio_bbs/