Max,
The port behind the supra is Mac style 25pin SCSI. It looks like a parallel port, but most certainly is not one. :-) Don't connect your printer here, you'll see smoke if you do!
Just take the cover off the AmigaBus port on the left hand side of the Amiga, line them up and slot in the supra.
The A500 can power the Supra, but since you have the external PSU, then I suggest you use it to save the poor A500's PSU.
The pole switch at the back is a power switch, try it in both directions.. The dip switches usually don't need to be adjusted, unless someone's messed them up. (the url posted elsewhere in this thread is worth checking out) ..