MIDI Files through keyboard

Hope I'm in the right place. My Mate just showed me how, using a keyboard, you can turn MIDI tracks into proper backing tracks. He's got a fancy keyboard with a floppy disc drive so it's really easy for him to get the MIDI into the keyboard to use its "engine"(?) I have an old Yamaha keyboard that has a 5 pin MIDI input on the back of it. My question is, how do I get MIDI tracks burned onto CD to play through the keyboard so I can play proper music? Is there a better way to get them in? (I'm not stuck on the CD format)I know this is a bit of a rambling post but its because I really don't know what I'm talking about. If anything is unclear, please ask me and I'll do my best.