If you bought a 9-25 adapter, then you most likely plugged the cable into your parallel port. Parallel port has holes (and a picture of a printer), serial has pins...
You need a serial port. That's simply the only way DataMaster can work. There is no way around that.
If you don't have a DB9 port on the laptop, you'll need a USB-DB9 adapter, or an actual USB data cable instead. The serial data from the ECM isn't a standard Windows baud rate, so some adapters have problems with it. The Belkin one has been reported to work well. The one you linked to is the type of adapter you need, but that specific one may or may not work (due to the weird baud rate issues).