This takes a 3-pin 0.1" female header. Parallax sells jumper cables using these at each end. I often will buy the long version, cut it in half (to get two identical pieces), separate and strip the ends, and solder to that. You can also buy the plastic "box" and single pin inserts from suppliers like Jameco or Mouser or DigiKey and assemble it yourself.
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http://www.parallax.com/Store/Accessories/CablesConverters/tabid/166/txtSearch/infrared/List/0/SortField/4/ProductID/386/Default.aspx
I imagine those pins are used to connect to female connectors together since there are no male connectors?· (of the product shown above)
I wonder does RadioShack sell these?