Connecting keyboard to computer...?

You may need to download a driver from the casio website, but I'm willing to bet that you don't have an audio recording program compatible with your keyboard. If you have a Mac, a great program is GarageBand. It supports a wide variety of MIDI devices. Ableton Live 8, while expensive, is a fantastic program that works on all major platforms, and it is honestly a killer piece of software. If you have the money to spend, get this program.