It looks as if it uses 'Wireless USB' (Bluetooth?) as the interface so you'd need to provide a compatible wireless receiver. I guess that's what the Neurosky solution is giving you, and if that's their recommended solution for connecting it to an Arduino then I would assume that's the simplest solution. You could always ask on their developers's forum if you don't believe their solution is the easiest way.
If you don't need to connect it directly to an Arduino then other options may be possible - it seems as if the device presents a virtual serial port at the PC, and it would be easy enough to either create an application to read that and act as a bridge to the Arduino, or simply loop that serial port back out to the Arduino's serial port.