So you only received one grey minijack-to-din connector? Sounds like the box was opened before you bought it. It's not really a technical problem that can be solved by forum users, but you can contact the store you bought it from and give them hell for possibly selling you demo stock.
If you want to get going now without having to wait for the store to find your missing cables, you will need a proper din5 cable (so you know all the pins are wired not just the ones used for midi), a decent minijack cable, a pair of wire cutters and a soldering iron. Arturia are using pins 1, 3 and 5, (start/stop, clock and ground respectively) on the din5 cable. They are connected to the ring, tip and shield of the minijack connector (again start/stop, clock and ground respectively).