Yeah the thing is usually called the CD-IN or CD-AUDIO port. Basically you have a female connector on the back of the drive (DVD-ROM, CD-ROM, whatever your optical media drive is, im just going to refer to it as the "drive"), and then a female connector on the motherboard or the sound card.
If the comp came from some comp, like Dell or Gateway or any company, it probably has this cable installed. Go into your sound options (little speaker in bottom right, it's on the taskbar) and make sure the "Mute" option is NOT CHECKED under CD-AUDIO or CD Player or whatever.
If someone built it then it may not have come with this cable (I never use them for some reason...). You need a cable that looks like this:
Generally it appears as though MOST mobos support MPC2 ends.