Step 2 on this page:
http://support.hp.com/gb-en/document/c01643091
Since the monitor has no HDMI input (which can carry both audio & video signal), you have to plug an audio cable in to the 3.5mm audio input jack at the back of the monitor, then plug the other end of the audio cable in to the speaker out jack at the back of your PC.
In other words, it's just like connecting stereo speakers to your PC except in this case the speakers are inside the monitor.
Contrary to what the previous poster stated, they won't work without an audio cable connected to your PC because the monitor has no HDMI input.