Hi Arthur,
There is some confusion in the question.
Do you want to connect your keyboard or the Phone Link app? What is the exact error?
Some guides:
Troubleshooting Phone Link
https://support.microsoft.com/en-us/windows/apps/phonelink/troubleshooting-the-phone-link
Troubleshooting setup for the Phone Link
https://support.microsoft.com/en-us/windows/apps/phonelink/troubleshooting-setup-for-the-phone-link
If you can provide a bit more information, I'd be happy to assist you further.
I look forward to hearing from you to get the results of the troubleshooting.