RS232-TTL Data Transmission
I think you just want a normal USB A-B cable, exactly like you'd use on a PC.

You probably could use the cable you picture, but you'd need a female DB-9 connector.  If you really want to do that for some reason, you need to connect the Tx pin on the DB-9 (pin 2) to the Rx pin on the Mega, and the Rx pin on the DB-9 (pin 3) to the Tx pin on the Mega.