Doc,
Most of the headset mics use phantom power. If this is the case, you'll need to modify the plug so it can be connected to a phantom power pack, then from the phantom power pack you would output to the keyboard's Line-In jack. It's the same jack as the Mic jack, but on the PSR series of keyboards there's a small toggle switch that allows you to switch from line in to Mic In.
Cheers,
Gary
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Travlin' Easy
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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.)