You just need a SATA cable. They can be found at Newegg, but you can probably get one at your nearby computer store (the shipping on cables is outrageous, but it might take as much gas to drive to a computer store and back LOL):
I'm assuming your motherboard has SATA onboard? I've heard of people ordering the wrong hard drive before, so I just want to make sure. Newer motherboards have 4-6 SATA and one IDE (for DVD drives), older motherboards might have 2 SATA and 2 IDE. You probably have SATA ports, but if you ordered a SATA drive when you needed IDE, then you can return it to Newegg. SATA's much better than IDE.
Keep in mind when ordering in the future, OEM drives are sold with no cables, retail drives come with cables and a CD with software you can otherwise download from WD etc. in the first place.
You also need a power cable. Should at least be a molex to sata power cable adapter. Take another look in the box. You should also have an installation CD with data transfer software as well as the cables themselves. If you bought the drive as OEM then you won't have the extras. If you bought the one you linked to then call Newegg bck and ask for your additional items.
Sorry, I was assuming you were adding a drive to an older PC, so I didn't assume you had a new motherboard with SATA cables. I was more concerned you might have ordered the wrong drive for an older PC. I had a friend do that and I had to go out with him to get an IDE to SATA adapter at Fry's.
People who've not added a hard drive before are often adding them to PC's that a computer store built for them, or else a Dell, HP, Gateway etc. Good luck with your first build. If you have any problems, then post and someone will help.