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.
IF it is like my Gigabyte MOBO it is on the back of the MOBO right next to the back panel audi connectors (I only remember because it upset me that the front audio cable on my case was too short to be tucked in neatly and reach the back panel of the ATX MOBO so that wire is running across the MOBO instead !! - wish they had put it next to the rest of the frontpanel connectors at the side of the MOBO instead)