Your power supply will have the necessary connector unless it's as old as the hills.
Do you have a spare SATA data cable already?
If you're building a new system then the motherboard will come supplied with some SATA data cables but you'll have to check how many.
If you do need to buy a data cable then you can buy any from the OcUK shop, just make sure you get one long enough.
You need something like the one you linked but you don't need to spend that much, a £2-£3 will do the job.
You don't need a SATA III cable, any SATA cable is fine.