Don't rush the process. There is generally a pictorial which shows the components and where they plug in. The cables are color-coded. There is also a small icon showing the peripheral to be plugged in. I strongly advise against having any drinks or food near that table.
Keyboards have a great affinity for liquid snacks.
Follow the sequence shown in the manual for connecting all parts. Inserting the power plug into the wall should be the very last step. Before plugging in any cable, look at the plug and matching socket. Make sure that they mate exactly. There should be no need to force anything.