The songs that are pre-loaded can not be "Saved" to the computer. Likely they can be played back LIVE through the MIDI connection, directly into the MIDI software on the computer and SAVED.
1) Install MIDI software on the computer
2) Configure and connect MIDI connection
3) Select a song for PLAYBACK
4) OPEN MIDI software on the computer and press RECORD
5) START the song on the keyboard
6) When the song is finished, press STOP or whatever function ends recording on the computer.
7) Save the recording