Anvil Studio, which Gary mentioned, is free for the basic version, but has add-ons which must be purchased if you want them.
PreSonus Studio One is a commercial DAW that has a free version called Studio One Prime (the previous free version was called Studio One Free). The free version is very similar to the paid versions but has fewer features, although it's still great for recording both MIDI and audio-- where it's mainly lacking in comparison to the paid versions is in the virtual instruments, but you don't need those anyway if you're going to be recording your keyboard.
Tracktion is another commercial DAW that has a free version, Tracktion T4. It's an older version, as opposed to a current version with decreased features. The newer versions are T5, T6, and T7, and they're all very affordable compared to other commercial DAWs. Tracktion T5 is only $30, and you can actually get it free if you buy a Behringer U-Control UCA-222 audio interface, which costs $30-- so depending on how you look at it, you're either buying Traction T5 for $30 and getting the UCA-222 for free, or vice versa.
There are other free DAWs, but these days the one I usually recommend is PreSonus Studio One Prime.
Just about any DAW is going to look rather intimidating at first glance to someone who's never used a DAW before-- or even at second, third, and fourth glance!
I had Ableton Live Lite installed on my computer literally for years before I ever tried to actually use it, because each time I'd start it up with the intention of learning it I'd get so overwhelmed by its screen display that I didn't know what to click on first, so I'd just shut it down and go running to SynthFont-- which isn't even a proper DAW, but more of a MIDI sequencer and soundfont player. But I'd gotten Ableton Live Lite for free with a MIDI keyboard controller I'd bought, so every few months I'd start it up again with the intention of learning it, only to run away from it again! It literally took signing up for a free online course with Coursera called "An Introduction to Ableton Live" before I began using it, and then I was embarrassed to find out just how easy it is to use.
My favorite DAW at the moment is Acoustica Mixcraft Pro Studio 7, but it isn't free. It's my favorite because it's very easy to use and it's the first DAW I ever bought (I got Ableton Live Lite before Mixcraft, but I don't count it as a "purchased" DAW since it came bundled with a MIDI keyboard controller), hence I actually started learning to use Mixcraft on my own because I felt I ought to do so given that I'd spent my money on it, so I have more experience using it than any other DAW. The fact that it's easy to use also helps, of course. For instance, it's ridiculously easy to create multiple splits and layers on a keyboard using Mixcraft.
But at present Mixcraft doesn't let you work with SysEx commands-- that's rumored to be coming in a future version, although the person who I heard that from doesn't work for Acoustica so I don't how accurate the rumor is-- whereas PreSonus Studio One does allow SysEx commands, so that (and the fact that it's free) is why I usually recommend starting with PreSonus Studio One Prime.
I should probably mention that SysEx commands are something you might not even need to get into, but if you ever start getting into controlling your keyboard with MIDI then eventually you'll want to use at least a few SysEx commands, so it's a good idea to get a DAW that can handle SysEx commands. "SysEx" is an abbreviation for "System Exclusive," and basically SysEx commands are non-standard MIDI commands which are specific to a particular manufacturer and their keyboards-- e.g., Yamaha has their own set of SysEx commands, whereas Casio and Korg and Roland, etc., have their own sets of SysEx commands. There are also a few "universal" SysEx commands which are not unique to any particular manufacturer. Yamaha uses SysEx commands for (among other things) selecting the type of Reverb, Chorus, and DSP Effect that you want to use-- so if you get a DAW that doesn't work with SysEx commands then you won't be able to send messages from the DAW to your DGX-660 to tell it which type of Reverb or Chorus or DSP Effect you want it to use. Also, if you're recording a song in MIDI, the DAW will filter out any SysEx commands, so that means the MIDI messages for selecting the Reverb, Chorus, and DSP Effect types won't get recorded.