There are two ways to do it.
The headphone/output jack will let you connect to the computer with good old analog audio cable. Your computer needs the ability to accept analog audio input. This requires an audio interface to do it right. Most "line in" jacks on the motherboard or regular sound card aren't that great. (There is a lot of latency, it's probably mono, and you'll probably need an adapter for a 1/8" jack.)
If you do it this way and it sounds fuzzy, there is too much gain or the gain staging is done improperly. "Gain" is an audio engineer's way of referring to how much power is in the signal. Most people consider this to be the same as volume, but there's a difference. Misunderstanding it leads to things sounding fuzzy, among other problems.
To fix "fuzzy", start by making all connections while the equipment is off. Then turn the computer's input gain adjustments all the way down. Turn the keyboard's master volume all the way down. Then power up the keyboard and turn its volume all the way up. Adjust your speakers to a moderate/low volume. It may sound just fine already, but you can optimize it by bringing up the computer's input gain while playing a loud passage on the keyboard. If it gets fuzzy, you turned it up too much. From this point on, don't touch the input gain or the keyboard's volume. If it's not loud enough or too loud, use the volume adjustment on the computer speakers.
Another alternative is to use a digital audio connection. You can set it up using the "to host" USB jack. You'll need a USB cable and a driver for the keyboard installed on your computer. Page 101 of the manual describes how to do this. If you've lost the manual, you can download a PDF here: http://c3.zzounds.com/media/dgx530_en_om_a0-c735235f6ff50e7687f12d2064175a10.pdf
Good luck!