Is it possible to connect the piano audio output to the "mic" input on a computer (using XP) and save the inputted audio to a file and then burn a CD -- without using Cakewalk sofware?

I suppose XP is better than earlier Windows, and the answer is yes.
But look for a "line in" to connect to, and record in Windows
soundrecorder.
Then you can burn to CD by use of the burning sofware.
GJ

Gunnar is right.
I don't like windows sound recorder though. If there was an application that came bundled with your soundcard see if that has an audio wave recorder included. Look in the options and choose 'stereo 44.1kHz' as the format. Your cd burner will then work fine.