This cable sometimes is a pain in the ass to get working. You didn't mention what operating system you are running it one either, that would be helpful to know as well.
The following steps are specific to Windows Vista, but should work for any Windows OS.
First off, unplug the cable, then stick the CD in the drive, and let the drive initialize. If the new disk wizard pops up, close it. Now plug in the cable to your USB port. When the hardware wizard pops up, tell it to go to the CD drive *only* (this seems to be where most people get hosed up), they click the default settings and let Windows search for a driver on the net, and it never considers searching the drive. During the driver install process, it should install two drivers (why, I don't know, so don't ask) before completion. Then and only then will your cable start to work.
Hint: You may need to uninstall the driver from your first attempt. To do so, leave the cable plugged in, open device manager, look under ports and you should see your cable listed. Delete it, unplug the cable and then reboot. Repeat process listed above for installing.
Edit: I just discovered that this site has updated drivers. These may or may not be newer than the drivers you currently have. I'd check out these drivers only if you cannot get the cable to install the supplied drivers.
http://www.ftdichip.com/FTDrivers.htm
Hope this gets you up and running.
As for which connector to use, I couldn't tell you anything more beyond trial and error trying both connectors. Once the driver is properly installed you'll know soon enough when the right connector is used. You may also need to adjust the software settings to find the proper port. On my first install onto my Vista notebook, the cable used COM3. Following a crash and system reload the cable then used COM4 which was strange in my book, as nothing else was connected to the system at the time.
As I stated in the beginning of this message, sometimes this cable is a pain in the ass.
Good luck and happy scanning!