There are mainly two ways.

One is, you can use the onboard sequencer in your keyboard, but depending on the model, you may be limited to number of tracks.

And the second way is, you can use a midi sequencer application - like Cakewalk Sonar or Cubase which runs in your computer. You will connect the keyboard to computer through the MIDI interface (using the MIDI cable, or USB, whatever your keyboard provides). Once the connection is made, you are provided with 16 channels, which is equal to to how many instruments you can play simultaneously. You will set up the song/project by specifying the tempo and the meter (number of beats per measure). Then you will open each track, assign a midi channel, and an instrument/patch from your keyboard (or you can select from the GM patches which every keyboard will have). Then you press the record button and play on your keyboard to record the track. Post recording, you can edit the notes, quantize etc using the mouse. You will get it easily once you start doing it.