Note: this does require old-fashioned 5 pin MIDI cables, and not a USB port on your keyboard. Most USB ports on MIDI keyboards cannot connect to other USB MIDI devices. You couldn't, for instance, connect two keyboards together. One side of the USB cable has to be a "Host" device, and this is usually the computer. Unless your manual specifically says "USB Host", you will not be able to plug a VMeter directly into a USB port on a keyboard. Luckily this Kenton box provides an alternative.
You'll need to configure the VMeter to output the correct MIDI channel and controller number for the input on your keyboard. Make sure you click the "store" button in the configuration utility so that the settings are saved after you unplug the VMeter.
After that, just connect the VMeter and keyboard through the Kenton box as shown in the diagram.