You would need to create a SERIAL interface to the OUTGAUGE service that the program uses.
I actually managed to convert the LPT (line printer) OUTGAUGE interface that "Vladimír Kadlec" wrote so it would send SERIAL STATUS as short STRINGS.
This means that you could use the USB interface on the Arduino to listen for the data from the OUTGAUGE handler and then manipulate PINS accordingly.
The code was written in DEV-C++ (something I already enjoyed using) so it was simple to convert the LPT calls into a serial interface solution. I think this might be the best way to go.
The OUTGAUGE is designed as a NETWORK protocol so I assume you could code an ethernet shield instead... but the overhead involved with Ethernet might not leave much for the gauge control.
Just food for thought.