Whew, MIDI! Let's see ...
Okay, first, on your multi-timbral synth, just make sure it's in "MULTI" mode, not "POLY" or "OMNI". You would probably have to scroll through the windows on the LED readout on your keyboard to do this. If you can then go through each individual multi-timbral "part" and make sure they're set right, channels 1-16, do that. If this is your only instrument, you can use all sixteen MIDI channels. THEN, make sure, in "GLOBAL", that you're transmitting and receiving on one channel -- probably channel one. You'll still receive all sixteen channels of information.
At this point, you should be able to control everything else from your sequencer/computer. As long as your THRU is on in the sequencer, you should be able to set up, say "Track 1". Set the MIDI channel to 1. Select a piano patch (or whatever) via OMS or whatever patch manager is available in the sequencer. You should then be able to play your keyboard and hear that piano and record it. Then, go down and make Track Two. Set its MIDI channel to 2. Select your bass patch on the computer. Now, your keyboard should be able to play and record the bass patch. And Track One, set to Channel One, with the piano patch, should be playing every time you hit the "Play" or "record" buttons. You should be able to record the bass line right laong with the pre-recorded piano, etc., etc.
Hope this helped!