JTAG mode VS PS mode

No worries. You can get a USB Blaster II, ByteBlaster II, or EthernetBlaster (Works over networks over ethernet, very handy if your PC and board aren't in the same location). See the configuratoin chapter for connections for 10 pin header. Hope this helps.

Cable connections are simple. USB Blaster II plugs into PC USB connector on one end and 10 pin header on your board and can be used for PS mode or JTAG mode (Supports AS mode too but you don't need it).

For Hardware connections go to http://www.altera.com/literature/ug/ug_usb_blstr.pdf and click on the "Hardware Setup" in the bookmarks on the left of the PDF.