You need an EPROM programmer, J3 port tuning board, and software to edit the fuel map(binary file). This is the cheaper way of doing what a TwEECer does, which costs about as much a standalone Megasquirt, wtf?
I will say that buying a chip is a lot easier, but I really think you will be disappointed. A K&N filter and a Ranger header will get you more power for probably the same cost and they won't have to be send back for reprogramming when you change something.
When you get into more advanged tuning, you can use just about any external parts you want if you know how to program them into the ECU.