MIDI is a computer sequence of instructions, such as "turn on note 37 at a velocity of 95," followed by "turn off note 37." Other commands change the sound used and other parameters.
MIDI can be passed back and forth between the computer and the keyboard using either the MIDI connections OR the USB connections, ONLY if someone has written a piece of software called a driver for the computer that is designed to interface with the particular keyboard.
If you purchase a keyboard designed to interface with MIDI, there is usually a CD along with it that has the drivers.
I have Finale 2008 - the MIDI section of the menus has a screen where one can choose MIDI input and output among the available choices for the particular computer. As an example, I use an eMu 1820M interface for MIDI and audio. It has two separate MIDI inputs and MIDI outputs. Each of them shows up as a choice for the input and output of Finale. I can also choose outputs - normally, Finale by default connects to the bundled Garritan Personal Orchestra using a Native Instruments Kontact interface. I can re-route the output of Finale to go to the keyboard instead (this works well if the keyboard has the General MIDI soundset). (BTW, this works well when using the Finale Notepad version, which does not include the Garritan Personal Orchestra sounds.)
For a more direct answer on the MIDI to USB adapters - they are like most pieces of electronic equipment - available at a lot of different price points and a lot of different qualities.
If your intent with Finale is to listen to music that you (or someone else) have written in Finale; "latency" is not a real factor. Latency is the amount of time delay between when the MIDI file tells the ocmputer to do something and the time that audio actually comes out of the computer, it is usually measured in milliseconds.
However, if you intend to use Finale as kind of a "music minus one" deal - where Finale plays some portion of the music as an accompaniment to a live performance on the keyboard; you will need to use one of the more elaborate (and expensive) sound cards in the computer that has low latency. Most of these for the PC use a form of encoding called ASIO. Various computers of mine have eMu 0404, 1212M, 1616M, and 1820M interfaces, in the order described, each has a higher price and more performance - the last two have built in audio mixing capability.
You can find a large number of web pages explaining MIDI and other aspects of electronic music generation at the following link: http://www.tweakheadz.com/how_to%20articles.html