Correct expression pedal controler for my setup?

[AndrevanHaren]

Hi!
I recently bought an expression pedal so I would have my both hands free while recording string parts into Cubase. But it turns out that it is not that simple to get it to work.
My Steinberg UR22c audio interface only has a midi in and out connection and my midi keyboard only a midi out.
Is the Midi Epression Device sold on this website what I need to get the expression pedal to work? I can see that the pedal can be plugged into the device, but how is the device connected to my keyboard or Mac Studio computer?

Best wishes,
André
Goteborg.