rodamo, if yours is like mine (I have a 6040, but it's the same situation), the USB "adapter" included is actually a motion controller. However, it does not have the Mach3 plugin that is required to use it with this software. I had to purchase a Mach3 compatible motion controller and the one I went with is the UC100. It has the plugin for Mach3 and is one of the most feature compatible motion controllers of this type. There are others as well, but most are replacements to the BOB (Breakout Board) inside the control box and you'll have to do some change out and wiring connections to use them.
There are a lot of opinions which ones are best and while I'm not touting the UC100 as my personal favorite, an external motion controller that plugs in to the 25-pin parallel port on your control box is easiest.
Hope that helps,
Stephen "Highspeed" Kruse