It's been a while, but I think there is an option to save files in the SMF (midi0) format...check out your manual. If you don't have one...here is a link. http://world.casio.com/emi/download/en/manual/
If the end result you want is a 'wave' file (used to burn CD's)...get this audio recorder (free download). http://audacity.sourceforge.net/
You can play the song on your Casio, and hook up a cable from the Casio headphone jack (or speaker output jacks), to the computer's 'line in' (you will hear the Casio tones over your computer speakers...if you are set up correctly. You can even 'layer' in additional recordings...for more parts. If you record more 'tracks'...you will also hear the other track(s) as you 'play live' ...adding in new layers.
A final way to record is with midi cables, where you record your playing to the computer...using a program like this: http://www.pgmusic.com/powertracks.htm
This method lets you 'edit' your song...making corrections...and the finished song is in the 'midi' format...playable on any computer. You can play the midi file back to the Casio, or from the disk to the Casio...and use the computer's audio recorder (Audacity or Power Tracks) to capture the 'Casio sounds' rather than the computer soundcard sounds. You would use the 'save as' option to save the midi file as a 'midi0'...so that the Casio can recognize the song.
[This message has been edited by Jim Wintringham (edited 12-22-2004).]