If you want to power the connection from your MegaSquirt ECU, you will need to make a slight addition to the module you have bought.
The ECUs supply a 5 volt output on pin 1 of the DB9 connector and that pin needs to be connected to the VCC terminal of the serial adaptor’s PCB.
On the module I have used, most of them will be similar, that’s easily achieved by soldering a wire between the DB9 connector and the PCB. You can see the red wire I have added in the picture. The pin numbers are moulded into the plug with pin 1 being the furthest right of the row of 5 pins as you look at the connector from the back. If your connector uses a pcb mount with 90 degree pins to the PCB you may have to follow the pins or use a meter to check you have the right one.