Firstly, do a search in this forum. It has been discussed many times and has been discussed again recently.
Next, you need to tell us what keyboard you are using. Does it have a USB port?
If yes, then it's simple. You just need a standard USB cable, and with the driver that comes with your keyboard, you're set.
If no, then you need a midi interface. It comes in a number of forms, the most common being the USB midi interface. M-audio has a lot of those - and reasonably cheap. Connection goes like this: keyboard midi out -> midi interface midi in -> to PC via USB. If you intend to use your PC as a sequencer to trigger your keyboard, then you'll also need to do this: midi interface midi out -> keyboard midi in.
Or, you may choose to take this chance to upgrade. If you are using a PC, you may want to consider a PCI audio card with midi interface built into it. If you are using a notebook, then you may want to consider a firewire audio interface (also with midi interface built into it).
Your options are many. Depends on your needs.
Lastly, you need to know what you are trying to achieve. Do you want to use your PC as the main sequencer and hence trigger your keyboard via midi Do you want to use your keyboard as a midi controller to trigger softsynths and softsamplers?