Indeed, the diagram makes a lot of sence. It's laid out much better than the Velleman one for sure.
Velleman do have a way of making things seem a bit complicated.
Though on the subject of a 'melted pc', I seriously doubt that you'd have something like that happen. Just to be sure though, when you make the board, try it one step at a time.. I.e.
1. switch an led on and off with it.
2. make the relay circuit and check it independantly with a 5v supply ( nothing connected to it , just see if it clicks )
3. try switching something with it
4. connect to usb controller
5. etc..
6. Woohoo! Celebrate.
Tuxicle has a point about 'noise'. Though as long as you use a smooth regulated supply I don't think it would be an issue, especially as you are dealing with the output from the Velleman unit, and when all said and done, interfacing with relays etc is what it is designed for. If you were buying something from a £1 shop and connecting it to your pc, then, I'd be suspicious. ( melted pc etc.. )
I'll be interested in your progress on this matter, as I said previously, I'm thinking about getting one myself. Not that I need it as such, I just like playing with such things.