What do you mean playing a style? do you mean playing TO a style. It's the keyboard that plays the style to your chord instructions of the left hand.
If you mean playing a song to a style - yes you can record that as a midi, save it to an external storage device, transfer it to your PC then using Audacity or similar free software convert it to Mp3
Spike
PS there are thousands of styles available on various music sites and they are all free to download