My first answer is RTFM. But it's the start of a new year and I am feeling charitable.
Look in the motherboard manual Table of Content, Chapter 1, Internal Connectors. On my P35 and P45 manuals, the connector is called "F_AUDIO".
Many cases have two 9 pin connectors going to the FP audio jack: 1 HD audio and 1 AC'97 audio. Use the HDA connector. And don't forget to load the audio driver from the disk included with the motherboard.