first you need to confirm how many audio devices your computer has.
have you got an audio jack on the front and the back?
Check device manager (right click start menu > Dev manager) under audio/sound heading
if drivers are not properly installed then you'll see a yellow triangle with an exclamation mark.
can you try with headphones?
have you got the audio software installed from the manufacturer's website?
what is the make and model of your PC?
if it says audio cable unplugged when you have something in it is possible you have a broken jack.
i would try a USB audio adapter which are a few bob from the internet or a PCI audio card.