Just speculating here, but...
I think you may have to tweak the computer OS app that controls the MIDI/sound. Sounds like you are having trouble routing the audio through the interface. Don't know your setup, but try running the audio line out of the computer to your spekers directly to whatever audio device you are using to record. If you are trying to download songs to your keyboard, then it's MIDI not audio you want to route through USB or your interface. Does your keyboard have USB? Most newer ones do.
What I do with tracks is record audio files directly to my Mac's hard drive, then burn CD's. I use Logic...also can export MIDI...