My advice is to get a "real DAW" rather than using Audacity, because it will let you record either audio or MIDI tracks.
If you want to record the actual audio output of your keyboard, you'll need to connect it to your computer using an audio cable-- or if you can afford it, buy a USB audio interface so you can connect the keyboard to the audio interface via audio cable, then connect the audio interface to the computer via USB cable.
Note that the keyboard's PHONES/OUTPUT jack takes a 1/4" TRS (i.e., stereo) audio plug, whereas the computer's MIC jack takes a 1/8" plug, so you'll need to either get an audio cable with a 1/4" plug on one end and a 1/8" plug on the other end (they do make those, but you'll probably have to order it online), or get an audio cable with either 1/4" or 1/8" plugs on both ends, then get a 1/4"-to-1/8" or 1/8"-to-1/4" adaptor to stick on one end of the cable.