@SlimJim
When you record MIDI on your computer, it uses the internal sound module of your sound card, not your keyboards sounds.
If you want to record the *sound* of your keyboard, you have to connect its audio out to the line-in on your sound card as you would with any other instrument.
This produces an audio track - a long sample which is uneditable as opposed to MIDI events you *can* edit.
You can also program a sequencer (eg. a computer) to "play" your keyboard via MIDI. Or control a slave keyboard (or several) from a master keyboard.
MIDI is a system designed to send 'events' (notes, data) between a master and a slave, not sounds. It simply triggers a sound in another sound module.
I have a simple MIDI controller keyboard (no sounds), which I use to record into a software synth/sampler, and the sounds are then rendered by the software which produces the audio output.