Step 1Circuit

This is the complete circuit of the Keylogger, it can seems complex, but in real, it isn't.. we'll see why..
It is divided into two "zones":
One is the Adapter, which connect GND and VCC pin of PS/2 connector with their respective pins on the USB Connector and CLK and DAT pin to, respectively, D+ and D- pins.
The other zone is composed by the PIC and the EEPROM (and the I2C required pull-up resistors). The PIC take care of detecting incoming Data from PS/2, decode, and then writing it to the EEPROM.

Step 2Open up

Open up your USB to PS/2 Adapter, it should look like this.
It simply connect pins from USB female to the PS/2 male connector.
All the wires are glued together with some kind of silicone or something similar, so you have to carefully remove that with a diagonal pliers or anything similar.
You should remain with the separated Female USB and the Male PS/2 connector and the plastic holder.