New Build -- No sound

So this is my first time building my own computer -- hit a few bumps in the road but finally finished. But now the sound doesn't work. When setting up the computer I plugged in the HD Audio plug.. should I have plugged in the realtek ac audio plug? Other than that, I don't know what else I could have messaged up to cause sound not to work.

Any common newbie mistakes that would cause this?

Using Vista 64 bit