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.