On one end of the connector you have a Female DB9 connector and on the other end you ave a miniature terminal block. You simply insert the stripped wires into the terminal block and tighten the screws.
Make sure you order the hood/cover if you do not want the cables and terminal block exposed, Part Number CD-MX915H.
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See the tutorial below on how to connect a cable to an HD-15 connector that is similar to the DB-9: