All you need is a cable between your keyboard's midi out and the USB. Edirol UM-1 does an excellent job and sells for about $45 in most music stores. If you have a PSR-2000, 3000 or Tyros, there are inexpensive cables that cost less than $10 that will do the job.
Gary
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PSR-S950, TC Helicon Harmony-M, Digitech VR, Samson Q7, Sennheiser E855, Custom Console, and lots of other silly stuff!
K+E=W (Knowledge Plus Experience = Wisdom.)