The only way to make an audio CD of your Casio is to connect the audio output of your Casio to the audio input on your computer. You may have to buy a cable that has the right stereo plug on each end to connect them up, but not a big deal and most electronics stores should be able to find something even if it is a standard cable with an adapater.
You would then load the sound recorder program in your Programs->Accessories->Entertainment and start recording. Then start your Casio playing so it records on the PC. You may need to experiment with the volume on the Casio and the input volume on your PCs mixer so it isn't too loud and distorts and also not too soft. Once you have got the level right go ahead and record each song one by one and save them on your PC. When you have finished you'll have a folder of WAV files of your Casio that all CD writing programs can then convert to audio tracks on a CD.
[This message has been edited by Nigel (edited 12-31-2004).]