You have to record the audio output of the Clavinova. The most direct approach is to plug in a cable from the line outputs (I'm guessing, but it probably has a stereo pair) to the stereo input of a computer soundcard. Then, you would use a recording program to capture the digitized audio that the soundcard provides into a audio file, and a CD-writing tool to burn an audio CD from the audio files you record.
This is really the wrong forum, but don't feel bad, it seems that a good 90% of people think upon first hearing of it that MIDI is a way of getting sound from one place to another. Actual it's just a standard protocol to describe some elements of musical performance -- e.g., which notes you hit, when you hit 'em, how hard you hit 'em, etc. -- and store or exchange that information. So no actual sound comes out of the MIDI cable when you send a Note On message for the pitch middle C, just a packet on information identifying the pitch and some other things -- for example, a timestamp that tells when it occured, a channel number that identifies which of the sixteen available MIDI channels is used to transmit the message, and what program number the channel's set to (which is used to identify which sound out of a set of available sounds to use when resonding to the message). It's a modern equivalent of a player piano roll -- when sent to the right device -- like another Clavinova -- the stored MIDI information can reproduce the performance within the resolution and level of detail that MIDI allows. But you can only make an audio CD out of what some MIDI instrument renders by responding to the MIDI messages...
