Shouldn't your mobo come with a Line-In jack? If you bought the Microsoft VGA cable for the xbox, it comes with an adapter where you can plug in the cable directly into the PC, and if your speakers are connected to your PC, then the audio should play directly from your PC. I think the Line-in jack is blue.
If you use Vista, then its a little more confusing. You have to either get Realtek audio drivers for your mobo, or use a program that records things from line-in and plays it back immediately. Though that method might give you a delay from what you hear and see.
The adapter:
http://img507.imageshack.us/img507/7618/img00057cu.jpg (Left side of picture)
Hope this helps.