The USB dongle is what's known as a Unifying Receiver. It's made by Logitech (as is the mouse & keyboard) and can be purchased separately from Logitech themselves or Amazon relatively cheaply.
Once you receive it, install the Unifying Software, run it and turn on your keyboard. It should show up in the connected list for you to pair, in my case I didn't need to pair it, it worked straight away. Don't bother trying to pair if this happens to you, it will fail. Instead, close the software down and enjoy your keyboard! :)