The MIDI/joystick port is data only, it does not carry any audio. The first part is to connect the MIDI ports of your computer to your keyboard, which it sounds like you have already done. Then run the line output from your keyboard into the line input on your audio interface, which will convert the analog output of your keyboard into a digital format that can be stored on your computer.
When you have everything hooked up, load the MIDI file into a sequencer and play it to make sure your keyboard is receiving the data correctly and playing what you expect. Now fire up an application that can record the line input to your audio interface, set it to Record, and play the MIDI file. At this time just make sure the recorder is recording the signal and that the level is set right on the keyboard. If the level is too high you will clip the analog to digital converters and the sound quality will be awful. If the level is too low you may have some loss of sound quality due to the lack of digital resolution and also the fact that the recorded volume will be too low. If you are recording 16 bit wav files then try to make sure the loudest part gets as close to digital 0 as you can without actually hitting it (clip!). If you are recording to a 24 bit format you have more room and probably just want to make sure the peaks are hitting at least -6dB full scale.
Now that everything is set up and the levels are correct, play the MIDI file in your sequencer and record it in your recorder. Note that if your sequencer also plays and records audio then you should be able to set it up to play and record at the same time, which will very helpful for sync'ing everything up.
Hope that helps,