You supply your own guitar and the connection is made by the Real Tone cable which is supplied with the game. Unlike Hero all the time you invest in getting better at the game actually builds real musical skills, rather than just coming away from it a highly talented coloured button masher. This half-game/half-tutor allows you to connect a real guitar to a console or PC and is basically Guitar Hero with a proper instrument.
This christmas I picked up a copy of the game Rocksmith.