You did not mention but depending on the model keyboard you have, as a guideline, if you go yo 'function - utility - disk - copy entire contents.... etc' follow the instructions and you make a back up from your disk. Easier and faster is making a 'diskcopy' on a computer if you have a floppydrive in it. Most new computers don't have them anymore but for little money you can buy a floppydrive with an USB connection.
And yes of course you can save your own 'creation' as a midi file.
Again depending on the model, go to 'song - user - (give your song a name) press save. You can save the song in the user-area or to a floppydisk and recall it anytime later. To be save hahaha just make a back up all the time.
Everything is mentioned in your manual but if you don't have one, go to psrtutorial.com and you can download a copy for your model (if it is a Yamaha keyboard!!).
Hope this helps you.
Good luck.