I am sorry that I didn't post a link, I wrote that a while back for someone else, and I just copied and pasted it over.
Now I just checked, and Edirol claims that all their MIDI interfaces are Mac OSX compatable. I just tried to test this, but for some strange reason, Encore keeps crashing on me, so I'll just have to take their word for it.
Now, this brings me to my second point: you will also need some sort of program to capture the input. I use Encore (
http://www.gvox.com/), but only because that is what I have the legal version to.
There are also others. GVox also makes a cheaper notation program called MusicTime, which is probably more of what you are looking for.
Sibelius (
http://www.sibelius.com/products/sibelius/) is the most powerful, or at least the most expensive.
There are also several made by Coda Music Technology (
http://www.codamusic.com/), the best known of which is Finale. Finale Notepad, made by them, is a free download, but does not allow you to play the keyboard and have the program automatically write out what you are playing.
The last one I know about is Notehead's Igor Engraver (
http://www.noteheads.com/igor/igor.html). This used to be free, but it has developed into what looks like a really nice piece of software, so it is now $265.
These are the only ones that I know about, and it is unfortunate that they are all so expensive. If you have a student ID, then some of them are cheaper, but you will need one of these programs to use your MIDI device properly.
I think, assuming you do not yet have a program, that I would start off with GVox's MusicTime, because this has most of the features of the others, for about half the price of the next one up.
Anyway, good luck!