What is typically referred to as a "cooler conversion" on this site is turning a cooler into a MLT, like this: http://www.homebrewtalk.com/showthread.php?t=23008 , and about 100 other threads on this board.
What you've linked to is more commonly called a jockey box. Yes, you still need a separate keg. The jockey box is a way to cool beer from a warm keg, and dispense it cold.
Fill jockey box with ice; beer flows through the copper coil (in the ice) and is dispensed cold.
And unless that's some massive copper tubing and those are perlick faucets, $400 for that jockey box is pretty steep.