Hey, I'd be glad to help out with this. So, first things first, you're using the DMG-04. The problem with this cable is that it does not contain all the necessary pins. You need to perform what's called the "pin swap" by trash80. Basically, you have pins 1,2,3, and 6 in the DMG cable. However, pins 1,3,5, and 6 are required. Meaning you have to move pin 2 to the pin 5 position. Pin 5 is clock, which is needed to sync with the keyboard.
DMG-04 Cable:
/-----------------\
| 1 3 5 |
| 2 4 6 |
-------------------
Now that you have that out of the way, you need to connect the right cables.
Pin #
GB PS/2 description
1 4 +5V/DCC
3 1 DATA/Serial In
5 5 Clock
6 3 Ground
You need to know exactly which wire in the ps/2 go to what pin in the connector. If zii.hrs is correct, then it is very easy. Unfortunately not all PS/2 keyboards are created equally, so they may not be exactly the same. If you have no multimeter, or continuity tester, then you will have to take a leap of faith and just do it according to the above schematic. Or, some keyboards will have the connector on the board labeled so you could use that.
DMG-04 Keyboard
Orange -> Red
Black -> White
Green -> Green
Blue -> Yellow
I got some of this information from xero's blog, and the LSDj wiki. Hope this helps! let me know if you need more help. I've messed around with these a lot.