Install a MIDI-compatible DAW on your computer. To put it simply, a DAW is a "digital audio workstation," a program that allows you to record and edit music. Examples include GarageBand, Mixcraft, ACID, Reason and Logic. You can choose free DAWs as well, such as Ardour, Audacity and Qtractor.
Connect your MIDI keyboard to your computer. If your MIDI keyboard is USB-equipped, connect the USB cable to your computer. If your MIDI keyboard does not support USB, connect a USB MIDI adapter (sold in music-supply stores) to your computer. Then connect a MIDI cable (also sold in music-supply stores) to the "MIDI Out" on the back of your MIDI keyboard and to the "MIDI In" on your USB adapter.
Open your DAW and create a MIDI track. A MIDI track is a recording layer specially designed for receiving MIDI data. Tracks looks like horizontal bars or strips on your screen, which you can use to layer recordings on top of one another (such as melody, percussion and vocals). You can find your track creation option on your menu bar. MIDI tracks are sometimes called "Software Tracks" or "Instrument Tracks."
Select an instrument setting for your MIDI keyboard. Among your track options, you will find a list of instrument settings, which include bass sounds, keyboard sounds, drum sounds and sometimes traditional instruments like strings and woodwinds. When you select your virtual instrument, your MIDI keyboard will trigger the corresponding sounds. Sometimes you can find your instrument settings on a "Track Options" or "Track Info" window, sometimes on a "Mixer" window, and sometimes on the menu bar. The process varies from program to program, but look for an option that reads "Software Synthesizers," "Virtual Synthesizers," "Virtual Instruments" or "Voices."
Click on your MIDI track (which, again, resembles a long, horizontal strip on your project window) and then click the "Record" button near the top or bottom of your screen. Begin playing your MIDI keyboard to record a sequence, and click the "Stop" button on your screen. Oftentimes "Record" will be a circle symbol and "Stop" will be a square symbol.
Create additional tracks to add layers of MIDI. For instance, you can record a synthesizer bass line on track 1, a keyboard melody on track 2 and a steady drum beat on track 3. When you play your tracks back, you will hear a single, multi-layered musical recording.