Yeah I'm confused too. MIDI connections have absolutely nothing too do with audio. The thing must at least have a headphone output, and you can get an adaptor cable to run from that to whatever you're plugging into. And if it is that cheesey that it doesn't, it probably isn't worth recording (other than as a novelty, in which case you could always stick a microphone up to the little speakers).
And yes you could hook up a 1/4"TRS socket from the leads for your speakers, but I can't guarantee it's gonna sound any good.