You would say "He is at the keyboard." Or if he isn't at the keyboard yet you could say, "He is going to the keyboard."

I'm sorry, but your question is not clear. Cory and Alex have given perfectly legitimate answers, but it only refers to the physical location of the musician. If you mean the kind of instrument the musician is playing, there are several options. She plays keyboard. (General sense.) She plays the keyboard. (As opposed to all the other possible musical instruments.) She's on keyboard. (Her position in the band.) We would not use "at" or "to" in this context.

He is at the keyboard. He is by the keyboard. He is by the drums. (not at). He is by the mic stand, by the speakers, at/by the sound board. He is at the desk, at the computer, in the car, in the corner. By can be used for these too. I guess At indicates manipulating controls of an object. Pens on a desk or buttons on a keyboard. The dictionary gives one definition of involvement: at work, at play. However drums don't qualify. Nor do objects that you wear like a guitar. By can be used for self-standing objects like the drums, but not something you wear.

He is at/to the keyboard...

Can you give an example?