How to transfer recorded songs from a Casio Privia PX130 to a PC?

So for my birthday I got a Privia PX 130 and I decided to try and make a CD of songs that I play. I got the keyboard to hook up to my computer and found the files to my recorded songs but I don't know how to get it to play on my computer. I don't think it's in the correct format like a MIDI or MP3. Anyone out there who can help me? Is there a software I need or anything?