You connect it to an HDMI output. If you are using an added-in graphics card (that is, NOT the mobo graphics system), then that card's outputs is where you connect. Does your card have an HDMI output?
IF you connect to the HDMI output of a video card, there is one other adjustment to make. The HDMI signals in the cable include stereo audio. To get those in the cable lines, they must be fed from the output jack of the video card. For this purpose the video card itself has its own audio output chip. Now, Windows can only use ONE audio output device at a time. Your system may be set currently to use some other device, like a mobo audio system. So you need to change that. Click on Start ... Control Panel and choose Sounds and Audio Devices, then choose the Audio tab there. In the upper section for Sound Playback Default Device, click on the down-arrow to see the list of audio output devices. Choose the one that is in your video card. That way it will generate sound signals sent out over the HDMI cable to your TV.
By the way, if your graphics card has no HDMI, but does have more than one DVI output, there are ways to make this work. If that's your situation, post here. Give details of what graphics card you have.