I have a PS3 and then I have my Cox cable box connected via HDMI cables.
Is that link from amazon basically a optical digital to analog converter? Will I need any other cables or connectors???
You'll need the digital to analog converter, and the cables you already have - connect the RCA to TRS adapter to the RCA outputs, and your speakers to the TRS output from that adapter.
Set your players for PCM downmix output where possible, if you have Dolby that you can't deal with you'll need the more expensive Geffen that schan mentioned, but if you leave things set to bitstream you'll encounter DTS signals from Blu-ray (and optionally DVD) that none of the devices discussed here will deal with.