You should use this PSR as your controller (ie you won't use any of its sound).

You should get yourself Cubase and a software sampler like Gigasampler, plus a few VST synthesizer (they are virtual synths, acting like real synths).

You will control the notes with your keyboard, and record in realtime MIDI data on Cubase VST tracks.

Post any question you have, I know this may sound a bit complicated at first, but you'll learna ll this in no time!

By the way, WELCOME!