The manual says you can load MID files, although it doesn't say you can load them into the song recorder-- you might be limited to just playing them. So if you don't actually need to edit the songs after loading them, I think you should be able to do that. I'll look at the manual a little further to see.
"DAW" is short for "Digital Audio Workstation," which could mean integrated digital hardware for sound recording, although these days it's usually assumed to mean a computer software program that has multiple audio-related functions, such as recording and editing and mixing audio tracks, creating and editing MIDI tracks, routing MIDI data from one device or program to another, playing or sequencing recorded MIDI data to a device or program, hosting or playing virtual instruments, etc. There are many DAWs, for various computer operating systems, ranging in price from free to several hundreds of dollars. Some of the free DAWs should be more than adequate for the typical home-user's needs.
Many DAWs can display MIDI data in musical notation form, or as a musical score. However, there are also notation or scoring programs which are dedicated to writing musical scores. Again, some of these programs are free, while others can be expensive.
DAWs and notation programs can usually import a MIDI file, allowing you to edit the data as needed, and can then export the data back to a MIDI file. But as I said, you might be able to load and play your MIDI files on the keyboard, if there's no need to edit them.
As for the CSR format (which I guess stands for "Casio Song Recorder"), you should be able to save your song recorder work to a CSR file, which will presumably let you load the work back into the song recorder at a later time if you need to edit the song further.
But a DAW or notation program should be a lot easier to use for entering music and saving it to a MIDI file to use on your keyboard. As I said, many DAWs can display music notation, although a "piano roll" view is more common. If you don't think you'd need all the capabilities of a DAW, and you prefer to work with music notation rather than a piano roll, then you might want to investigate some of the notation programs out there rather than the DAWs.