The "Z" connector between the 2 female .156 molex plugs is WMS part number 5791-12235-XX, XX is the number of pins. The WMS part number is pretty useless though.
The female housings in the picture are IDC(insulation displacement style). The crimp-on pins give a more reliable connection. If you bought male headers as well, you can solder two of them together to make a "Z" connector.