Help with keyboard to MPC2500

I need some help, I have an to MPC2500 and I'm trying to use sounds I have from a keyboard, I'm trying to figure out if I need to change how my keyboard is set up. I have Midi out from my keyboard going to Midi In 1 on the MPC, and Midi In on Keyboard going to the Midi Out A of the MPC. Whenever I record a track the sound only comes out of the keyboard speakers. It syncs up with eveything else I have but I cant get it to play out of my audio speakers with everything else. I don't know if I don't have the right keyboard or what, for starters it is a cheap casio, but it has the midi in and out. Please help I have researched this and it is confusing.

MIDI doesnt transmit audio only data, you have to connect the audio out of the keyboard to whatever you want to monitor it with. If you want to hear it through the outputs of the MPC.... man the rest is in the manual (I dont feel like explaining it). It should be self explanatory from there?