If the keyboard you're using doesn't let you create a new style directly on the keyboard itself, you can still create a new style on your computer by doing the following:
(A) If your keyboard lets you record tracks directly on the keyboard itself, then record different tracks for the drums, rhythm, bass, guitar, organ, etc. Note that you don't need to record key changes, just record everything in the key of C Major. And you don't need to record everything at once-- i.e., you can record yourself playing the intro, or multiple intros if desired, then the different sections (e.g., for the verses, for the chorus, etc.), then the fill-ins or bridges that will transition from one section to another section, and then the ending or multiple endings. You can pause between each part without stopping the recording, and you don't need to worry about hitting bad notes or losing the tempo, etc., because the idea is to just make a raw recording of all the bits and pieces that you want to use in your new style. Then you'll probably need to convert the in-keyboard recording to a MIDI song file so you can transfer it to your computer for the next step.
Or
(B) If your keyboard doesn't let you record directly on the keyboard-- or if it does but you'd rather skip that step-- then you can connect the keyboard to your computer and record the bits and pieces of the style in a DAW program. In other words, it's just like step (A) above except you're doing it on your computer in a DAW rather than doing it on the keyboard. Just make sure you're recording the MIDI signals coming from the keyboard, as opposed to the keyboard's audio output. You'll still need to work on it some more, but it's a good idea to go ahead and save the raw recording before the next step, just so you'll always be able to go back to the original recording if something goes seriously caca during the later steps.
Then
(C) Load the MIDI file from step (A) or (B) into your DAW-- if you used method (B) then it should already be in your DAW-- and use your DAW's features to correct any wrong notes, fix any variations in tempo, move the starts and/or ends of any notes as needed so they play on the right downbeats or upbeats, trim any parts as needed, etc. Note that each of the fill-ins should be no longer than 1 measure, but the various main sections can generally be any number of measures long (although you'd want to keep them short, such as 4 measures that will loop over and over for as long as that section is being played, rather than 16 measures that are really just 4 identical measures which are being played 4 times in a row). You aren't making the finished style in this step, simply "cleaning up" the tracks of the raw recording to fix the notes, tempo, measures, etc. Save the cleaned-up MIDI file, preferably using a new name so you don't overwrite the original file (just in case).
Then
(D) Close your DAW and open up a utility program that can be used to convert a MIDI file into a style file. In this step you'll need to pick which measures of your recording you want to use for each part (section or variation) of the style. You'll also need to pick which source tracks you want to use for each of the style's tracks (MIDI channels), as well as change the instrument voices (if necessary) by modifying the Bank Select and Program Change values to pick only voices that are available on your keyboard. Note that there are documents about how style files are organized, and you might want to keep such documentation handy in case you need to refer to it. For instance, styles are normally played on MIDI channels 9 through 16, and you'd want to be familiar with that fact so you don't accidentally try to use channels 1 through 8. Then you can save the new style file and try it out on your keyboard.
Or
If you don't want to go through all of that, there are other utilities that let you create accompaniments on your computer, such as Band-in-a-Box, RMCA Realtime MIDI Chord Arranger Pro, etc. I personally don't have any familiarity with any of them, but you can search the web for a program that fits your needs-- e.g., see the list of utility programs at
http://www.synthzone.com/midiaccomp.htm
Edit: PS-- Yes, there are people who post and/or exchange style files. Your best bet would be to search for a web site or forum that's dedicated to styles for your particular brand of keyboard, such as Yamaha, Casio, Korg, Roland, etc. But you may also be able to find a utility program for converting a style file for one brand of keyboard into a style file that's compatible with your particular brand.
