If you are recording MIDI to your computer you will need a USB A to B cable if your keyboard has a USB MIDI port. You will also need a MIDI sequencing software like Anvil Studio or Reaper on your computer.
If you are recording audio output to your computer and you have no other audio out than the headphone jack, you will need a suitable cable with connectors from your headphone jack to the stereo input on your soundcard, however, since headphones are high current devices you will also need to put a 10 dB or 20 dB attenuator inline with the cable to reduce the output otherwise you risk blowing out your soundcard and your keyboard's headphone jack.
For recording audio you require a program like Audacity to record the music as a WAV file and then an encoder like LAME to convert it to MP3.
PS. Output connects to Line In on your soundcard (the blue connector) not the Mic in (red connector) and remember to place an attenuator inline with the circuit.