On some equipment (Such as the Alesis Synthesizers)
you need to turn-on the GEN MIDI (general midi)
setting on your controlling device. Else no
communication occurs.

As long as you stick with general midi settings, you
should be able to record/playback on any midi device,
but as Dana has pointed out, playback will only be
"correct' on the FR-18.

Programs such as Cakewalk (AKA Sonar) will let you
print what you've captured in midi onto staff.

So will programs such as the Finale suite of software.

Beware .. there are numerous tricks to make what you
had actually played, appear coherent on sheet music
print out.

The midi capture will be more literate than you want.

Sheet music uses many metaphors to make it readable.
Prepare thyself for a learning curve

--biggy