Hey,
There are two things to setup:
1. Audio
2. MIDI
If you're using the sequencer on the Triton, you can get away without having the MIDI connection.
1. Using an audio cable, connect the audio outputs of the Triton to the audio inputs of your soundcard. If you're not sure which inputs on the soundcard to plug into, make sure you use the LINE input, it's usually blue.
2. Open the program you want to record into, like Cool Edit, Sound Forge, whatever.
3. Hit record in your program, choose 44.1khz, 16 bit, stereo when it asks for the file properties.
4. Hit play on your Triton's sequencer to start playback of your song. The audio should appear as a waveform in your recording program.
5. When your song has finished, hit stop in your recording software, then go to File>Save and choose Windows PCM (*.wav) as the file type.
Take care,
Nick