I think that Audacity cannot work with MIDI files. Try to rip the output of your keyboard into a .WAV file with an other program and use this file as input for audacity.
I have downloaded Audacity, but cannot record. I use a Roland d-50 midi keyboard and an M-Audio interface and have Windows Vista. It works fine with Finale 2008 which I use for songwriting , so I assume things are connected properly. When I click ...