From what I've read, the only Laptop that can really use an external GPU PROPERLY is the MSI GS30 Shadow. Aside from that, plugging a desktop GPU into a laptop doesn't really work, as you have to severely limit the I/O bandwidth.
If you were to use that adapter however, you'd need a standard desktop PSU to power it. You'd also need an external display as the laptop wouldn't be able to output video from the card onto the laptop display.
External GPUs on laptops are usually expensive, messy affairs that don't work particularly well.