Welcome to the forum
I have a usb adapter with the same chip, unfortunately, the driver for it, to my knowledge, has not yet been included in the mainline kernel because of, from what I understand, poor quality code from Mediatek. This is why your adapter wasn't working out of the box.
What you will need to do is compile Mediatek's driver, preferably the one from here,
if your kernel version is at least 3.19, (if not, use this
one.) This (compiling) is something that folks new to Linux can find difficult, just as a heads up. Instructions on how to do this can be found here,
although I'm not sure if it will work for Kali. I did find a Kali thread concerning this (on Ubuntu's forum] here,
although I doubt that it will be of any help. You might want to seek additional help on Kali's forum, as well.
If this is something you don't want to mess with (and I wouldn't blame you, I try very hard not to touch stuff like this myself
) another suggestion would be to purchase an adapter that already works "out of the box," for most, if not all, (Linux) distributions. If your version of Kali is between 1.0.0 and 1.1.0a, this
adapter might work very well. I have this adapter as well and I've never had a problem with it in the year or so I've had it.
Hope this helps...