Eh...
Big question...
Does the Casio play more than one sound at a time?
Can it play different MIDI channels at the same time?
These are two major questions that need to be answered...
If it can play more than one sound through MIDI at a time,
Plug the MIDI cables into the computer, then assign one track of your recording software to the approriate MIDI channel of the Casio and record one sound - Like a bass or something...
Then assign another track to another MIDI channel and record another instrument, ie: Drums... continue...
If your recording "software" can only record audio, then you need to choose one sound on the Casio, Then select another audio track and choose another sound on the casio and record that one, too...But you won't be able to use MIDI...
I'm sure this is a blast in the face... But, more information would be helpful...