That adapter will only work if the connection on the Audigy is optical, which I don't think it is.
Yeah, it is. I checked the specifications page on the Creative Audigy 2 site and the digital output mini plug on the Audigy 2 is:
Digital Out for 5.1 support (6-channel SPDIF Output)Optical refers to the transmission medium (optical cable versus coaxial, for example), while SPDIF refers to the transmission format (or protocol). Basically, anything made for Dolby digital that has a digital input will expect the data as a SPDIF digital signal. I double-checked the specifications of those Yamaha speakers listed below, and they have SPDIF digital inputs, so yeah, an adapter will work.
Another solution would be to buy the external 5.25" connector, which has the rectangular optical plug on it.