A vast majority of the reports of problems connecting a keyboard can be traced to a MIDI to USB cable that looks like this:
They work for some people and not for others. It appears to be either extremely poor quality control or an inability to handle MIDI with a lot of notes being played. If you insist on buying one these cables, count yourself lucky if it works. If it doesn't, trash it and spare us all the effort of figuring out that you have one of these cables and telling you it is junk that cannot be made to work. The Emu Xmidi cable has proven to be a reliable MIDI to USB cable.
Nicholas, please pin this topic to the top of the hardware section, if not the whole Forum. This warning needs to be seen by every Synthesia user before they buy a cable.