Check the back or underneath. If you've got both, USB is usually simpler to work with.
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.
You can even use Synthesia with real, traditional, 88-key pianos: The ONE Smart Group has made the Piano Hi-Lite which you can lay across the top of your piano keyboard. It uses optical sensors to detect your playing and includes LED guide lights that are compatible with Synthesia.
That will let you use the authentic feel and sound of your real piano while you learn with Synthesia.