Tangomar, you should have bought an Elm 327 V1.2a - I bought one off Ebay recently for AUS $33 delivered. It actually looks the same as this one:
more info obd2 There's also a new Elm chip coming out soon with faster data rates, I think it's the Elm 327 V1.3?
For software, try downloading the evaluation version of OBD2007 from
OBD 2007 - it has a "dash" type display that gives you your fuel economy figures.

The evalutaion version is free for 7 days.
Most of the free OBDII software I've tried is fairly lame.