Well, from here
http://www.matrox.com/graphics/en/support/gxm/software/
I see the download link "THD FU Dec2009" described as "Firmware Utility for TripleHead2Go Digital Edition". That link opens a page to download "THD_v2.3.40.t6.56.exe" which is 587KB self-extracting zip and is one of the attempts I mentioned above. It opens the "Matrox GXM Firmware Utility" window where I selected "Update your Matrox hardware". I then select "THD_v2.3.40.t56.pkg" (it steered me to it) and get the "Invalid package for current product" notice.
Ok (just to check, the matrox is connected to your PC when you try to update the firmware by the USB cable and its recognized by windows as a new hardware), bad news then, as you posted you may have a damaged adapter, since the firmware utility doesnt recognize it.