Match the cables and ports to their opposites. For example, the keyboard cable marked "In" connects to the "Out" port on the interface. A USB-capable controller needs to go to its own USB port, not a USB hub.
Search under the menu "Options" for "MIDI Devices," and select the "MIDI IN" and "MIDI OUT" related to your soundcard and MIDI interface. Click "Move selected devices to top" to record and playback from your keyboard.
Connect either headphones or speakers to the synthesizer. Or use the audio output of the keyboard through the "Line in" jack on your sound card.
Set your synth to multitimbral mode, and turn off the local control. This allows every MIDI track to be on a different channel.
Set the Channel, Bank, and Patch on each MIDI track to produce the desired sounds on your keyboard.
Select "Start" under "Control Panel," and open the "Sound" menu. Find the tab "Recording," and choose "Line-in." Either select "Set Default," or modify the properties.
Add an audio track by going to the "Insert" menu and then selecting "Audio Track." Ensure the input is set to your synth.
Press "R" on the new track to enable recording. Click play to adjust the individual levels for the track.
Create a new audio track if you want to keep each MIDI track separated. Select "Solo" when recording the individual track.