Inexpensive recordable DVD is on the horizon and capacities of 10,000 megs are coming, too. This is one of the cards that is plugged in one of your expansion slots at the back of your motherboard. It processes the information that your application wants turned into sounds. It turns this data into analog signals your speakers can handle. These are the outboard speakers, not the little tiny, tinny speaker hidden inside the bowels of your computer.
Sound cards come in all degrees of sophistication and prices.
You more or less get what you pay for, but with a diminishing return as you go up the scale. Where the monitor plugs into the back of the computer is where the video card is located. The faster the card and the more built in memory it has on it the faster your computer processes certain data. Graphics especially benefit from a fast video card. Again more is better here.