If you've installed a soundcard, and your motherboard already has onboard audio, connect your cable to the soundcard. Then you want to enable Windows audio settings for Playback to use the soundcard. You can get to those sound settings from the Control Panel or an icon in the System Tray. Also make sure you have installed the drivers for the soundcard for your version of Windows (best to get them from the manufacturer's official site.
If you have any other questions, then list your computer hardware and Windows version.