Hi, I am getting a px4d in the mail tomorrow, and I want to be able to play it as soon as I get it, so I am trying to get everything set up.

Is the jack a normal headphone jack? Or do I need an adapter?
Is there anything else I should go out and buy?

It's a 1/4" jack (like a guitar cable).
You might want to get a power adaptor for it too. I think is't 4.5v (not positive off the top of my head though)