This is the most-compatible USB-to-MIDI adapter we've been able to find. It works with everything and doesn't require any drivers. You can find it for about $35.
When plugging this into your keyboard, use the opposite port:
Do not buy cheap or generic MIDI adapters. Incompatible and flakey adapters cause more problems for Synthesia users than any other source.
The worst offender is shown on the right. If you're having trouble getting things working and your adapter looks like that one, there is a good chance the adapter is causing the problem.
Once everything is connected, your keyboard should show up in Synthesia.
Head over to the Musical Devices section on the Settings screen to enable your device for input and output.
Then on the Music Input screen for your keyboard, play the lowest and highest notes so Synthesia knows how many keys your keyboard has.