According to the manual http://support.casio.com/storage/en/manual/pdf/EN/008/CTK6000_WK6500_EN.pdf the USB port on the keyboard is for MIDI data only. That is consistent with Windows recognizing it as a MIDI port.
The MIDI data transmits commands that say when notes start and end, but it doesn't transmit the audio that you want to record with Audacity.
You need to connect the LINE OUT jacks on the Casio to an audio input on the computer. Your sound card will probably have LINE IN socket (colored light blue on a standard Windows PC). From the manual, you probably need a cable with two mono plugs at the Casio end and one stereo plug at the computer end. Don't use the Microphone In socket (pink) on the computer - the output level from the Casio will be too high.
Note, in principle it is possible to transmit audio data over a USB cable, but the Casio doesn't support that directly. If you really want to do it that way, you will need to buy a USB audio interface plus the right audio cable(s) to connect it to the Casio. There is no obvious advantage in doing it that way, and it will be more expensive.