Note what Olin says - why do this? You may have a good reason but (as noted below) RJ11 is non standard for this purpose and you are inviting compatability problems.
There is NO RJ11 serial data standard. See examples below.
Advising whatyou want to connect to and why may make this task FAR easier.
Example at end of RJ11 serial data pinouts.
Brief comment below on finding unknown pinouts.
The answer to your question is given on the blackbox page that you referenced
- Pin your own modular adapter to connect your serial equipment.
The reason that they did not connect the RJ11 connector to the DB9 is that there IS no standard way available.
The reason that they left the wires uncommitted was so that you could connect them in the way that suits you.
If you do not know what the pinout you need is, who does? (Really). What are you connecting the RJ11 circuit to? What equipment? / model? / brand? Do they provide a datas sheet or connection diagram?
Worst case you may have some equipment that has a serial circuit on an RJ11 connector that you want to connect to. In this case, the very best method is to get the manufacturer's information. If this is not available then there are ways to proceed.
Finding the pinout of a 6 pin serial connector.
This is just an overview -m knowing the equipment brand and model or, failing that, type of equipment and intended use will help geatly.
6 wire connector.
Power off. Do any wires make low resistance connections with device chassis? Label as possible grounds.
Power on. Is any line at -5 to -12V wrt chassis ground. If only one this is probably TXD. Compare to diagrams below. Any clues?
If more than one low line one may be CTS or RTS or similar. With scope on check lines on turn. Depending on equipment TXD may have data burst. RTS may toggle or play around during startup.
More on this if needed.
Examples - these are useful mainly to show how thoroughly non standard the various arrangements are.
Dell RJ11 - one implementation
H2Ns page describing their RJ11 serial pinout and connections for interfacing to other equipment
H2NS's contribution to the fun.
Here's an interesting page from Unitronics they have a number of somewhat different "arrangements"
Here's a plug pinout from one of their several arrangements - it's notable for being different from but similar to the Dell arrangement above. TXD and RXD are the same and there's some other partial similarities.