Here's a pic of the setup.
I really this unit. The throw for the stick is a bit long but you get a solid response. I like the response of the red buttons (the red buttons on the Advantage always feel a little sloppy). The wireless connection works great. The only real quirk is that the battery compartment seems too small for the batteries, but I did manage to get a set shoehorned in. It does seem pretty easy on the batteries too.
The piece you found is changeable. I have on that has db9 connectors instead of the nes connector. I think it's for the Atari or Genesis but I haven't gotten around to trying them out.