Hi ExcelX,
Currently, you are wiring the two instruments together as it is shown in the attached connection_diagram.png
I am not too familiar with Mercury 3500 but think you need to wire pin 9 (Mercury 3500) to pin 3(NI 9401) and pin 10 (Mercury 3500) to pin 16 (NI 9401) to make sure all your negative terminals are wired to the COM terminal on 9401. Also you need make sure both instruments share a common ground, so you will also need to wire pin 1 or pin 13 on Mercury 3500 to NI 9401 ground.
Mikhail K
Applications Engineer
National Instruments