Is this MP3 Aux Jack cable ok for the Chevy Cobalt?

[chrisray]

The car I bought has an mp3 aux jack (new to me).

Is this the right cable to use? http://www.amazon.com/Auxiliary-Stereo-Radio-Input-Audio/dp/B000V2A3YK

Is there any stores that would stock the same thing for a cheap price, Walmart maybe?