Help - Cannot Remember How I Once Did Something

I used Cakewalk several years ago; then lost interest in creating music until now.  I now am trying to accomplish something that I did several years ago, but am having a problem.  I'm not sure on which Forum I should post this request for help; hope this one is OK.
 
My equipment is a Yamaha DGX-300 digital keyboard.  My software is Cakewalk Home Studio 2 XL.  My computer OS is Windows XP; sound card is Sound Blaster; connection from keyboard to sound card is via 15-pin connector.
 
This is what I am trying to do:
 
1.  Create a MIDI track using the DGX-300 (play individual notes on the keyboard).
 
2.  Create an Audio track using the DGX-300's Style/Accompaniment feature.
 
3.  Render the completed song to a .WAV file; burn it to a CD.
 
I am able to create the MIDI track OK; but when I attempt to record the audio track, no information seems to be transmitted/recorded (no wave patterns appear on the Trak Pane; no sounds play on Playback).  I have done this in the past, so I know it can be done.  However, I appear to be missing something basic this time, and cannot remember how I did it previously.  Can someone please help?
 
Richard

There is a few issue pop up from reading your post: 
 
You do know that a MIDI connection is for DATA only and that to record audio from a hardware synth you need to connect audio cables. 
Consumer keyboards don't output automated midi data. So you record the audio output. 
But that leads us to the next issue: You don't really have a proper place to connect to.
I would imagine your soundbalster unless it's the Audigy I or II has a mini jack.
I also know that Yamaha's only ever have headphone jack outputs, right?
So you stuck with a 1/4" TRS to a 1/8" TRS connection from Radio Shack..not stellar equipment. But it will work. You can try MME mode as I know for a fact WDM mode is terrible with Creative cards...I own one!  
 So next issue: 
You will have a much better experience working with any DAW software if you use a proper audio interface. 
 Most audio interfaces use USB to connect both audio and midi to your computer. They start around $100 and go up as you add more connectivity. 
 
I recommend you purchase an audio interface, most come with a copy of recording software. Even though you already have software, your going to want to bring yourself up to date soon. The newer versions are much improved and come with some great sounding synths. So this will include better synth sound than the Yamaha ( I would think) and you will be way better off learning how to create your tracks with using software as apposed to a accompaniment style keyboard. Using a DAW opens up a whole new world of possibilities for you to create some much better tracks. The Yamaha will make a fine controller for inputting your notes.  

ALf  Have you ever owned or used a sound blaster card? 

That was implied that I owned a Soundblaster card at one time.
 
You probably have to turn up the Line Ins volume on the sound card in Windows. If it is off, then you will get no sound coming in.
 
 And all of that is handled by the mixer in Windows for the Soundblaster card. (and then Line outs to speakers needs to be on also, checkmarked as to be using it, and volume up for that also.) What is not needed is "What you hear" or I never used it, although I do not remember right now what that does exactly.
The line outs are going to computer speakers say that are powered speakers. (or a input on a stereo amp or an amp input persay).
 
This video put back up (was going to re-do it with new RME Babyface) was done with the Extreme Gamer Soundblaster Soundcard on my XP computer years ago.
 
http://www.youtube.com/watch?v=gRv48PKv16c&feature=youtu.be
well a few years back (around 2011 or 2010).
And I used the creative labs ASIO drivers that came with it.
 
And also to me youboob screwed it up along the way in the process.
But then, it sounds like it does, because a Soundblaster sound card is not an better audio/interface to begin with.
But is perhaps a gaming sound card from 2007.
 
And perhaps some people use their EMU units which have better connections for recording audio.
http://www.creative.com/emu/