I have one of these. It is an adapter to hook up a Nintendo controller to the PC via an AT keyboard port. It will work with a PS/2 adapter.
The way you use it, if I remember correctly is by pressing SET, then pressing the d-pad or a button on the controller, and then pressing the key on the keyboard you want to copy. But, I don't remember if you need to hit SET after each key mapping, or after all of your key mappings. The LOAD button worked with the DOS software that came with it to load keymaps.... I didn't keep the disk because it wasn't really necessary. Finally, the RESET resets the whole thing.
I bought mine back in '94 at Computer City. It didn't come with a controller. I have seen at other places with one though. I think this website sells the same thing: http://store.ramplus.com/dygaprgacocl.html
Enjoy.