What type of connector, adapter or tubing do I need to connect the fridge to the water line

You will need a compression fitting for both ends if you don't already have them. Often the fridges will come with a plastic supply line but I always like to replace it with a copper one as they last longer and are less prone to damage.

You might also want to verify the valve works correctly. If it is a piercing-type valve, the often fail and should be replaced with a soldered/compression fitting.

Make sure that the pipe is inserted into the valve as far as it will go before you tighten the compression fitting - it would only slip out if not properly tightened against the ferrule.

Two other recommendations:

1. Get rid of the piercing saddle valve and install a ball valve (1/4 turn) that has either a compression fitting or is soldered in place.
2. Scrap the plastic pipe and pick up some 1/4" flexible copper supply line.

The first is more important. The piercing values are usually not to code. They can be difficult to turn off (not good in the event of a leak), and often the pierce does not make a large enough of a hole for adequate water flow, which can result in ice making problems and slow water dispensing.