I did buy the data cable but the only thing you really need is the 2.0 upgrade chip. You just take out the JB3, open the cover and swap the chip. You don't need the cable unless you want to monitor engine parameters or change settings.
As long as you have the JB3 version with the serial port connector, you should just need this
http://www.burgertuning.com/jb3update.html.
As far as installing the JB3 (plug and play), the Z4 is much easier than other BMWs. The ECU sits right in the engine bay up high and all you need is a torx screw driver. The whole install process took me half an hour (I could do it in 10 minutes now that I've done it once). I'd come over and help you out but it's a bit far
Cheers,
Marc