Which ports does your keyboard have?

Check the back or underneath. If you've got both, USB is usually simpler to work with.

USB to Host
MIDI ports

Don't have either type?

If your keyboard only has a headphone jack (or nothing at all), that means it can't send the MIDI data Synthesia requires. Unfortunately, the only real solution in that case is to try a different keyboard. The good news is that all but the lowest-end keyboards usually have at least one of the following ports.

Connect a real piano!

You can even use Synthesia with real, traditional pianos: add QRS's PNOscan record strip to turn your real piano into a MIDI input device. Then, add some output feedback with the PianoMaestro.

Those will let you use the authentic feel and sound of your real piano while you learn with Synthesia.