All you need is something like this little adapter.
And maybe one of these since Alkaline 9V batteries don't last very long with the 25 mA load of the Arduino PCB. Fill this baby up with 6 AA rechargeable NiMH batteries and save yourself all kinds of money,
http://search.digikey.com/scripts/DkSearch/dksus.dll?Detail?name=BH26AASF-ND
You may find this cable handy as well.
This is the 2.1 x 5.5 mm barrel power connector that most of the Arduino boards use. I'm sure there is a less expensive source someware but I haven't found one yet. this is a top quality connector made my Switchcraft.
Good luck and have fun.
KG2