Check the back or underneath. If you've got both, USB is usually simpler to work with.
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.
Those will let you use the authentic feel and sound of your real piano while you learn with Synthesia.