We bought a good quality 16ga round extension cord at Home Depot (25ft @ ~$10) This had 3 wires with good strand count.
We soldered one end to the connector and attached the other to the terminal block on the VFD. Don't worry about which wires go to which of the U,V,W terminals.
The worst case is the spindle will spin backwards. If the is the case then just swap any 2 of the 3 wires.
BTW: We just got the air cooled version in the shop. It is super quiet. I think I prefer the air cooled over the water right now. The noise is similar and it is a lot easier deal with (no water lines).