Don't worry, this stuff is like learning another language. Kkl cables are super basic diagnostic leads, originally built for pirating vagcom, but are now used for various read/write activities. Make sure you buy one with the ftdi chip, ideally genuine. Here is a thread talking about them
http://nefariousmotorsports.com/forum/index.php?topic=4803.0title=Argdubs tool is here, used for reading/writing info from eeprom:
http://nefariousmotorsports.com/forum/index.php?topic=1168.0title=I don't know for sure that this will work, depends what ecu the a4 is running and a few other factors, but it's worth a try. The other option might be using something to read the cluster. There's a thread on here somewhere which talks about other tools, vag commander etc, which work for reading clusters.
Obviously once you have got a cluster or ecu eeprom, pull out the skc and add the key using vcds