EmilyJane,
The purple cable of the sensor plugs into one Analog-In pin. The Red and Black cables got into Arduino 5V and Ground respectfully. It runs on 3V too. If you are using a favor of Arduino that's 3V based, Red cable can accept 3V.
We used the female end connector so that it was matched with male headers, as you noted. You can also the same hook-up wire that's goes into a breadboard. That's how motors come, and we figured that is as "standard" as "standard connectors" get.... 