The Xploder 4 should come with a useable lead. I have an Xploder 4. I'll have to see if I can do a successful link.
Do you have a USB Memory Stick that you could try with the PS2 to confirm that the port is working OK?
Did you turn the PC on first? When you connected the PS2 did you get any message on the PS2?
I know that I had problems with Datel's equivalent lead with Action Replay as it didn't seem to want to communicate consistently. That was the main reason that I bought a MaxDrvie which is so much more convenient (though the memory stick with it won't work with Photomode).