That unit looks a little on the expensive side; I paid $7 for two shipped, but it should do the job (what I bought looks just like this one: http://www.ebay.co.uk/itm/RS232-To-TTL-Converter-Module-Built-in-MAX232CPE-Transfer-Chip-With-4PCS-Cables-/110769034040?pt=UK_Computing_Other_Computing_Networking&hash=item19ca595338). Using it is pretty simple--connect your modem to the DB9 connecter, Vcc and GND to +5V and ground, RX to the RX pin on your Arduino, and TX to the TX pin on your Arduino.
If you want to use SoftwareSerial instead, connect RX and TX to whatever pins you want to use.