The USB adapter comes with a short USB cable used to connect the adapter to the USB port on a computer as well as a Cat5 network cable used to connect the USB adapter to the ShowTime PC controller. Cat5 cable is the same type of cable used by most computer networks. The Cat5 cable can be as long as 4,000 feet. A cable that long might be suitable for the likes of Disneyland, but you'll probably want to keep your controller within a few dozen feet of the computer.
Light-O-Rama also sells a serial adapter that converts RS-485 signals to the standard serial port protocol that was once commonplace on PCs. Most computers don't come with serial ports anymore, so you'll probably use the USB adapter instead. (Note that if you use the serial adapter, the maximum length of the Cat5 cable that connects the adapter to the controller is 100 feet.)
It's very important that you follow the instructions that come with the USB adapter before you plug the adapter in to a USB port on your computer. Specifically, you should first run the driver installation software from the CD that came with the USB adapter. Plug the adapter into a USB port only after you've run the driver installation program. If you plug the adapter into a USB port before you run the driver program, there's a very good chance that Windows will install the wrong driver for the adapter, and that driver will be associated with the adapter, making it difficult to get the correct driver installed.