MIDI = musical instrument digital interface. Any keyboard with midi in/out will send at least midi on/off messages to a sequencer that will save it as a midi file. It can then be edited into more or other sounds. If you have a decent soundcard and the right sequencer you may be able to convert a midi file into an mp3 with little difficulty. Otherwise you might have to find a midi-to-mp3 conversion program; there are a few freebies out there if you look around. You could also play the midi file thru your soundcard and record it as a wav or mp3. It works the same for all midi instruments. the only differences might be polyphony, voices, velocity touch, etc.
Does the PSR41 have a headphone out? You might be able to get a useable signal thru that and go thru your Audacity.
[This message has been edited by cassp (edited 07-14-2007).]