Installing 360 Bluetooth device in Latitude 360

I ordered and have now received the Bluetooth 306 device and want to install in in my Latitude 360.

 

I have found where to install it according tot he manual (along the hard drive). But I have no cable to connect it with (something that the documentation suggest I should have). Should this small cable come with the bluetooth device, or am I misunderstanding something?

 

Thanks!