How to plug headset in cpu

Youor computer manuals or "Getting Started" guide should tell you about all the connectors on the case.

Headphone jacks, if present, are located on the front of the computer case.

"CPU" generally refers to that little (well, not so little) chip inside that runs everything.
 
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.