The only one I see that just says AUDIO is the rear panel connectors you attach speakers to. Generally, the front panel connector is used for headphones and mutes the rear connectors when something is plugged in. As COLGeek says, the cable from your case plugs into the F_AUDIO header on the board.
A note: if you have an older case, it may have both AC97 and HD Audio plugs, and the HD Audio one is the correct one for modern boards. Both plugs have exactly the same shape and even the same indexing pin but are wired differently.