As a matter of fact, I couldn't find a place to hook it up. Playing from a Sony 1X CD-ROM, no less. You may have an off-brand card with no CD audio jack, but the odds are against it. More likely, the audio cable you have doesn't mate with the proper receptacle. Identify the specific make and model of both the sound card and CD-ROM, then call a local computer accessories shop and ask for the proper piece.
Most connectors use four-wire plugs, but the style varies between models.
It's a pain.