I'm new to recording so please bare with me.
I'm attempting to use my keyboard to record MIDI into my Mbox.
However it wont record loops from the keyboard. Also, if I change settings after I record one thing
whatever I previously recorded takes on the new sound I switched to.
If anyone knows a good tutorial for this or any help it would be appreciated.
Sounds like you are a bit confused between MIDI and Audio.
MIDI is just computer data that is generated by your keyboard, or other MIDI device, that can be recorded into a sequencer and edited in many more ways and in much more detail than you can an audio. However, in order to make a sound, that MIDI data needs to be played back through a MIDI keyboard, sound module, or synth (software or hardware). The device you send the MIDI data to uses the information to generate sounds using whatever sound it is currently set to (unless you include program/patch change information in the MIDI data stream to automatically set the device to the desired sound).
So, if you record something, and then change to a different sound on your keyboard, and then playback what you recorded, it's going to play the new sound you just changed to. If you want to play multiple sounds from the same keyboard, or other device, at one time, then that device needs to be multi-timbral capable, and you need to assign each sound to a different MIDI channel (there are 16 MIDI channels that can be transmitted over one MIDI cable), and record each of those MIDI parts to a different track in your sequencer with each track set to playback on the correct MIDI channel in order to play the proper sound.
Not sure I understand the loop part you are talking about without additional information from you, but I'm guessing that you have some patch on your keyboard that plays some sort of rhythmic loop when you hold down a key? If you just press the key once and hold it down, the MIDI data you transmit will be just that one note press... so, you'll have to play that back to the same exact patch on your keyboard in order for it to trigger the same loop again.
Do some searches on the net for "MIDI tutorial" or "beginning MIDI" or something like that to find some tutorials on how MIDI works in much more detail.
In order to get those MIDI parts into Audio parts in your DAW from your keyboard, you'll need to hook up the audio outputs of your keyboard to the audio inputs of your computer's soundcard, and set up an audio track to record from those audio inputs.
Hope this gives you a starting point. Google is your friend, so do some searching and studying to learn more, and then just practice what you learned until it all starts to make sense.