You will need either a ball-lock or a pin-lock quick disconnect, depending on which style of corny keg you bought. You'll need 2 - one for liquid, one for gas.
You should read through a couple links in the Kegging sticky, located here: http://www.homebrewtalk.com/showthread.php?t=43347
CO2 tank -> regulator -> fitting to hose -> hose -> fitting to QD -> gas-side QD -> Keg
Keg -> Liquid QD -> fitting to hose -> hose -> fitting to nipple -> nipple -> shank -> Faucet.
Brownish is beer, Blue is gas-side.