You'll require a few things to build your kit. Most of these you'll likely already have. If you don't already have them, they're all very useful so now is the time to pick them up.
A serial cable. You'll need a DB9 male to DB9 female serial cable in order to connect your Bus Pirate to your PC. You could also use a USB to Serial converter.
A 7 to 20 Volt DC Power Adapter with 2.1mm or 2.5mm Center-Positive connector. You'll need a power adapter to power the Bus Pirate. It accepts a pretty broad range of inputs from the most common size of adapter connection.