Which ports does your keyboard have?
Check the back or underneath. If you've got both, USB is usually simpler to work with.
Don't have either type?
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.