Yes, the diagnostic tool are only the communication cable (USB Port) between the car and the laptop.
Most of the diagnostic tools are from China. I have order about 20 pcs before in my group buy and so far there are no complaint.
I am not sure about such tools are available in Malaysia but you can check Mudah.com or Lelong.com
Yes, most of the diagnostic tools comes with CDRom for setting up the software.
Please take note that the program provided by some of the China supplier are for old operating system like Window XP and 16 bits computer.
I have used the program provided by China and they dont seem to work well with the latest Win 7/64bits computer.
However, this can be overcome by downloading some program from USA/Russia website.
Check out Aidilj thread on diagnostic tool as well. He have given a guideline on how to do it.
I also have the software and I can pass it to you during one of OTT meetup.