You seem to already have the first part down: from your question I'm guess you know how to connect your keyboard and record MIDI data into your DAW. You are probably playing that MIDI data back through a virtual instrument instead of through your keyboard.
In most DAWs, there are two different kinds of tracks that have MIDI. The first kind has MIDI and a virtual instrument loaded and might be called an "Instrument Track" (Logic and Pro Tools call it that). The second kind of track is just MIDI data and might be called a "MIDI Track". In Ableton Live, MIDI tracks do both, and it depends on whether you have an instrument device loaded on the MIDI track or not.
In this case, you want to use the MIDI track type, and you don't want to have a virtual instrument loaded into the track. When you hit play on your DAW, no sound should come out (from that track).
Now you have to find the MIDI routing options for your DAW for that track. If you've found it, then you want to choose to route the MIDI output of the track either to the appropriate keyboard that should show up in the list if you have a USB MIDI connection, or the MIDI out of your interface if you are using a regular DIN MIDI cable. In the second case, make sure you have two MIDI cables between your keyboard and your MIDI interface.
Now when you hit play, MIDI data should go out through the interface or the USB cable to the keyboard and play the notes on the keyboard. You might also have to adjust the MIDI channels used by the keyboard and the track in the DAW.