That's the wrong thing. You need a null modem cable (RatShack doesn't seem to carry one), but, assuming you can't return what you've got, it'd be cheaper to buy a null modem adapter. Even if you can, the adapter will provide you with two different attachments (if you need to use the cable elsewhere), at the expense of having a somewhat bulky and inconvenient adapter tacked on for the empeg.
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Bitt Faulk