Brian, at a minimum you're going to need an SMA male to UHF female SO-239 adapter and a shielded USB cable with ferrite chokes. Since you're likely to buy the SDRplay from HRO (they're on sale right now), they also offer the adapter:
http://www.hamradio.com/detail.cfm?pid=H0-014408 http://www.hamradio.com/detail.cfm?pid=H0-008512The USB cable you can buy on Amazon:
http://amzn.to/1zkgFTQDepending on your location, you may suffer from overload from AM stations, so you might also need a BCB filter.
There's a bit of a learning curve, especially if this is your first SDR. Fortunately, there's a very active support community for the SDRPlay, this page has some links to the various software guides, "cookbooks", and the Facebook page:
http://www.sdrplay.com/windows.html (look on the side under "Community Information")