I have the same phone Nokia 3530 and I am glad I am able to answer your query.
I was confused myself when i got the cable but i managed after a lot of experiementation.
#1. Switch off the phone and remove the battery
#2. one end of the cable obvioulsly goes to the serial port of the computer
#3. The other end is the bulky boxy structure with 4 pins protuding. This has a kind of hooks on the upper two ends to accomodate the battery. Place the battery there.
#4. Now Slide this ( battery and the cable ) to the rear end where earlier u had the battery
#5. push it tight so that it locks firmly in place. You may have to pull a small lever for that purpose and then release it. After doing so u might feel that the battery is a little slanted outwards. It does not matter just make sure the battery contact points manage to touch the mobile input power points.
#6. Now switch on the phone with the rear cover which will not close.
Happy data transfer