Sounds as if you wish to record a midi file. Not at all difficult, but it can be somewhat confusing if you try to do this using any of the PSR instruction manual. The best advice I have is to visit PSR Tutorial
where you'll find detailed instructions on recording using bothe quick record method and multitrack recording.
If you wish to record a CD using your computer, you will find detailed instructions at PSR Tutorial
PSR-S950, TC Helicon Harmony-M, Digitech VR, Samson Q7, Sennheiser E855, Custom Console, and lots of other silly stuff!