find the manufacturer's homepage and product model.
go into system (control panel >system >hardware) in windows and see what drivers are assigned to it.
of the two reviews on the page you linked, one says ithe cable wont work under xp. what are you using xp or vista.
the other one says it should work without any further software installation, but doesnt say is this xp or vista.. - does it appear in Ableton's midi list? I.e. in the software that you are using, in PREFERENCES, find the Midi connection options and see whether it appears. Remember to try switching the two cables - ie, the midi connector you are not using, try to see if it helps, in case the labels are not the way you expect.