There's a great chance that the random RF coming out of that thing and into your Baofeng will overload it and make it deaf, so I wouldn't worry about that all that much. Regardless, you need a pigtail from the connector on the radio to a SO-239, probably this.

The Icom should already have a SO-239 on it.

Cable-wise, it depends on how long the run will be, and how much loss you can deal with on UHF especially. Just needs UHF connectors on both ends. As was said, LMR-400 is usually quite nice.

For mounting, it depends on what you will be mounting it on, look online for some mounting options. You probably want a vertical mast.

Oh, and look into lightning protection and grounding as well.

Edit: spellung