Yep, the thick sheath has the 6wires in for the sensor.
The Green wire is the EGT wire, note that the green and white wires have a polarity (shown in the user guide).
The smaller wire with the 9 pin on the end is to be connected to a PC/Laptop's serial port.
The wire with the fused connection connects to the 15pin plug.
The reason that the fused plug bit exists is because you can solder additional wires onto the various pins, to provide the lambda out, the analog and RPM in.