The best way to buy the correct cable and thus the software is direct from Ross-Tech in the US. Most of the cables on eBay will not work with the latest versions of the software. Basically you purchase a cable from Ross-Tech which acts as a 'dongle' and you then download the latest version of the software from their web-site.
I have just ordered a Micro-CAN cable for my A3 for $249 plus $43.50 shipping, but this type of cable only works on the A3 or Golf 5.
The cables to work with other Audi's can be purchased as either Seriel or USB and cost $349 + shipping and VAT has to be paid when they come into the UK.
Their web-site is:
http://www.ross-tech.com/vag-com/index.html