Although this says differently:
Now that you understand the pins on the Nintendo controller, hook up your jumper wires by using arrow’s colors from the photo above. (Note: The pins are fairly deep, be sure that your wires are deep enough and snug to insure a strong connection)
As for the other ends of the wires, place the RED wire from +5V on the Nintendo controller to 5V on the Arduino. Place the BLACK wire from GROUND on the NES controller to GROUND on the Arduino. Pretty straight forward.
Place the ORANGE wire from STROBE on the NES controller to Digital Pin 2 on the Arduino.
Place the WHITE wire from CLOCK on the NES controller to Digital Pin 3 on the Arduino.
Place the YELLOW wire from DATA on the NES controller to Digital Pin 4 on the Arduino.
NES Wired