It comes with a CD IIRC.
Really? When I was working for the tech coordinator in HS, we ordered tons of those things and they never came with CDs. I'm really sure that I never had to install software to use them, even on Win98, which would seem to imply that they aren't necessary...
On a different note, bigazn, do you have any PS/2 mice around? I thought of a reason I could be wrong (and it's pretty obvious, but oh well...). USB is obviously has a lot of flexibility/ambiguity. Maybe the adapters have to communicate which type of device they're meant to be... I'm not sure. It's not really my area of expertise.
Edit -- Here's a helpful explanation:
Answer: The vast majority (95%+) of cheap ps2 to USB adapters are simple passive or pass-through devices that only function to connect the ps/2 wires to the approximate USB wires. These generic green or purple colored adapters do not have custom software drivers. They were intended to only be used with specific keyboards that have built-in logic that can auto-switch between ps/2 and USB modes.
In general, a well-designed converter will use an integrated circuit (IC chip) to actively translate the ps/2 keyboard signal and convert it into a USB keyboard signal. This allows the vintage ps/2 keyboard to be automatically recognized by the operating system as if it were a standard, modern USB keyboard. A well-designed active ps/2 to USB converter will use the built-in operating system drivers for a USB keyboard (for example in Microsoft Windows XP, kbdclass.sys and kbdhid.sys).