I have the DP35DP gigabyte Intel board in an antec case
 
on the heatskink to right of the CPU there is a plastic fitted frame. Is this supposed to be removed? I know it sounds like it should but it seems to be fitted there with a reason perhaps.
 
Also, there is a wire coming from the front of the case that reads "speaker" but I cannot find where this is meant to go???

Per pg 46 and 47 of your manual, it looks like it would connect to "C" as per the figure on pg 46. But I am the Komputer Novice.
 
With regard to the heatsink, if yours looks like this I think that's the way it's suppose to be:
 

yes I did see that audio pins but the female plug that has Speaker on it has 4 pins. How would I know which 4 pins.

Some documentation in this regard should be in the case manual. What Antec case do you own?
 
On back of the "speaker block" there should be some markings what does it show (in the exact order)?

it just shows what you pointed out. I can no other pins to put it really.

OK, there seems to be a little disconnect here...
 
First, what model Antec case are we talking about? With the Antec cases that I am familiar with the front panel speaker and microphone connection often feature an Intel-standard 10-pin connector, with 7 additional individual wires and connectors. If your motherboard supports Intel's standard onboard audio connector (which seems to be the case from review of the DP35 manual), you can plug the 10-pin connector directly into the board. It is keyed so it only will fit one way. Otherwise, you'll need to attach the 7 individual connectors to the motherboard. Here's how:
 
Locate the internal audio connectors on your motherboard (the figure I spoke of in the previous post). The pin positions are identified on the connectors and on the motherboard diagram; however, the terminology may differ.
 
1. Connect the AUD GND connector to the ground pin.
2. Connect the FPOUT-R connector to the Front Right Speaker Out Pin.
3. Connect the FPOUT-L connector to the Front Left Speaker Out Pin.
4. Connect the RET-R connector to the Rear Right Speaker Out Pin.
5. Connect the RET-L connector to the Rear Left Speaker Out Pin.
6. Connect the MIC connector to the microphone power pin.
7. Connect the MIC-BIAS connector to the microphone input pin.
 
Decide on HD or AC97 and set in bios
 
For Intel® High Definition Front Panel Audio  
 
Pin1 PORT 1L Analog Port 1 - left channel (Microphone)  
Pin2 GND Ground  
Pin3 PORT 1R Analog Port 1 - right channel (Microphone)  
Pin4 PRESENCE# Active low signal that signals BIOS that an Intel® HD Audio dongle is connected to the analog header. PRESENCE# = 0 when an Intel® HD Audio dongle is connected  
Pin5 PORT 2R Analog Port 2 - right channel (Headphone)  
Pin6 SENSE1_RETURN Jack detection return for front panel (JACK1)  
Pin7 SENSE_SEND Jack detection sense line from the Intel® HD Audio CODEC jack detection resistor network  
Pin8 KEY  Connector key  
Pin9 PORT 2L Analog Port 2 - left channel (Headphone)  
Pin10 SENSE2_RETURN Jack detection return for front panel (JACK2)  
 
  For AC-97 Front Panel Audio  
 
Pin1 MIC Front panel microphone input signal (biased when supporting stereo microphone)  
Pin2 AUD_GND Ground used by analog  
Pin3 MIC_BIAS Microphone power / additional MIC input for stereo microphone support  
Pin4 AUD_GND Ground used by analog audio circuits  
Pin5 FP_OUT_R Right channel audio signal to front panel (headphone drive capable)  
Pin6 FP_RETURN_R Right channel audio signal return from front panel (when headphones unplugged)  
Pin7 AUD_5V Filtered +5 V used by analog audio circuits  
Pin8 KEY No pin  
Pin9 FP_OUT_L Left channel audio signal to front panel (headphone drive capable)  
Pin10 FP_RETURN_L Left channel audio signal return from front panel (when headphones unplugged)
 
 
See here