Yes, I have the Logitech Z506. It has three connectors for 5.1: green (front), black (rear) and orange-brown (center+subwoofer). You need to plug all three into the correct 3.5 mm outputs on the motherboard. Unfortunately, MSI has overdone it with the color scheme and didn't bother to color your board's 3.5 mm jacks properly, judging by
this picture (the audio output block is the five 3.5 mm jacks and an S/PDIF port on the very right)! I can't even see etched icons indicating which jack is which, like on some other boards, so presumably they aren't there. So you will have to consult your mobo's manual.
After making sure that all jacks are connected properly, you will want to get into the Realtek HD Audio Manager (I'm assuming your board uses their sound chip, since nearly everyone else does) and set it to 5.1 output instead of probably default stereo. You can then click on each speaker individually to make sure they all work. If you can't hear the sound from any of the pairs (front, rear or center+sub), or even just one of the pair, don't panic - just make sure that you have connected all the jacks properly and maybe rotate the connectors a bit, 3.5 mm audio jacks tend to sometimes be loose.
Once everything is working, you can go to the Room Correction tab and play around with the distances and gain - it can definitely improve the quality.