I thought I'd posted a reply to this, but I don't see it, so I'll try again.
The PSR-EW410 has the ability to record its audio output directly to a file on a USB flash drive, but the PSR-EW400 does not have that ability.
However, the PSR-EW400 (as well as the PSR-EW410) has a built-in USB audio interface, so if you connect it to a computer via a USB cable then you can record its audio output using software such as Audacity or a DAW.
You can also connect it to a computer via a TRS audio cable-- from the keyboard's PHONES jack to the computer's AUX IN jack-- although you'll either need to use a special audio cable that has a 1/4" plug on one end and 1/8" plug on the other end, or an audio cable with the same size plugs at both ends but use an adapter to convert one end to the larger or smaller plug size as needed.
Another option is to get a USB audio interface, which will usually have a better sound card than is in your computer. This is a good option if you have other audio equipment you want to record with, such as an electric guitar, bass, or microphones for recording vocals or acoustic instruments. Note that the PSR-EW400 and PSR-EW410 do have an AUX IN jack, and if you plug an audio device or other equipment into that AUX IN jack then you can record external audio along with the keyboard's audio via the keyboard's built-in USB audio interface. But for earlier models that do not have a built-in USB audio interface, or if you have more than one additional audio source that you want to record, an external USB audio interface can be a very good option.
Or you can use a standalone portable recorder.