You need to install a driver to make your webcam work. A driver is a piece of software that lets Windows know how to communicate with that particular make and model of webcam. What's your make and model?
The installation CD contains the drivers for your webcam. The warning just means that the software hasn't been properly certified by Microsoft. It should be OK to ignore this warning so go ahead and install the driver. If you don't then your webcam won't work.
The
Webcams4U website contains instructions and downloads for various webcams.
As for the cable
beachhut101 is probably correct. There should be a flat rectangular USB plug, the other is probably a microphone jack plug that fits into the microphone socket of your PC (usuall coloured pink).