If by "demo song" you mean the songs that come built into the keyboard, Gary/happyrat1 is right-- you can't save those songs to a MIDI file or output their MIDI data over the USB-MIDI connection, because they're "protected" in some manner that doesn't allow this.
However, the keyboard has six "track" buttons-- labeled "R/1," "L/2," "3," "4," "5," and "A"-- which let you toggle the song tracks on or off; see page 36 of the manual. Although you won't be able to record over an existing track, you can mute up to two tracks simultaneously if you want to play those parts yourself. Then, by using an audio cable to connect your keyboard to your computer, you can use software to record the audio of yourself playing along with the non-muted song tracks.