If your keyboard has USB or MIDI ports, you're in luck.
If you've got both, USB is simpler. Install the driver from the manufacturer's site (if any) and connect the USB cable between the keyboard and computer. That's it.
If you're stuck with just MIDI ports, you can find a good MIDI-to-USB adapter for around $30.
BUY the E-MU Xmidi 1x1. It works with everything. Didn't even need the driver.
DO NOT BUY unbranded, cheap (<$10) adapters. They're usually flakey and not very compatible.
DO NOT BUY the M-Audio MidiSport Uno adapter. Sometimes it doesn't work at all.
Get started for less than $200.
|A great lighted 61-key Yamaha bundle with stand. Connects using USB, no adapter required. $190
(Lighted keys are supported in Synthesia and are especially awesome in melody practice!)
|A mid-range 76-key Yamaha bundle. It also has a USB port, so you just need a USB cable. $290|