You didn't say if you were using a "sequencer package" or not, if you are not, then I suggest that you try and find one. This will allow you to bring up the soundcards voices within the sequencer and make your choices from there.
You will need to have both the midi in and the midi out connected to your computer, this allows the seqencer to talk to the DX21
and vice versa.
There are many sequencers available i.e. Cakewalk, Cubase, Band in a Box etc. etc.
Some are easier to use than others, it all depends on your level of knowledge. But check these out and see if they are for you, some music magazines usually give away free sequencers i.e. Computer Music, see if you can get hold of a back copy that has a sequencer give away on it.
But, you will definately need to have some software that sits between your keyboard and your computer.
Hope this helps...