i think op (incorrectly) means 'cpu' as the pc case.
@manojtaman: the headphone jack is colored green and it should be on front of the computer case. if not, the motherboard (at the back of the case) should have one if it has integrated audio chip. look for a pair of 'holes' or sockets colored green and pink. the green one is for headphone, the pink one is for microphone. after you plug in the headset, click on your volume ison on the taskbar and test it.