You may already have this cable if you have a printer or scanner. The standard A-to-B USB 2.0 cable is easy to find and is only a few dollars.
Do not buy a "USB 3.0" cable. It's a different shape that won't work.
Do not buy expensive $20+ USB cables. There is no reason to pay more than $5.
Troubleshooting If your keyboard isn't showing up in Synthesia, check your keyboard manufacturer's website to see if a driver is available. Try installing it if you can find one.
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.