OEM is just the card: no instructions, no software, basically bare-bones.Probably won't even have a box.
Retail or non-oem should come with all the accessories that the manufacture normally includes and usually comes in a retail package.
Normally about the only thing you need to install a sound card are the card and the drivers. For OEM you would go to the manufacture's web site and download the driver to your HDD or a thumb-drive and install them from there. Retail would probably come with a disc with drivers and other software for the card (which you might or might not want to use).
Kinda up to you and the price of the part (in this case a sound card). From my perspective if the price difference between OEM and Retail is around $6 or less, go with the retail; you would be looking at $15 OEM $21 Retail with that price spread. UPdate: just looked at Newegg, For the $11 difference, go with OEM; it says it comes with the driver disk.
One last thing: Make certain you get the right configuration: PCI will not work in any PCI-Ex slot and vice versa. Take a look at your motherboard etc. and make certain of where you are going to mount the card and that you have an appropriate slot. The card you linked is for a PCI slot.