MIDI KEYBOARD HELP?????????????????????????????????

I have a Yamaha keyboard and want to record some music. I have pro tools, a mac and an M-audio interface. Now I'm just confused as to how to connect my keyboard to the interface to record the sounds my keyboard would normally make with it's speakers. My keyboard and the interface have midi ins and out but do the keyboard sounds record normally when I connect them through Midi? Would it be the equivalent of me connecting my guitar into the interface, or is MIDI a whole nother thing?