Since these pins are obviously male I need a cable to be able to connect this clean on my arduino.
What are these cables called? Maybe a link to a product on www.dx.com (free shipping) if possible.
Thanks 
The red one at the far end? Look for 'Dupont'.
They are actually easy enough to make yourself if you have a crimping tool (and the necessary pins, sockets and shells!) and you never need to look for one again.
Thanks a bunch. I have now ordered the cables I need