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That Blue-colored audio port on the back of some PCs. It's called Line-in. It's for an aux cable. I'm using an old portable cassette tape player to listen to radio stations on my PCs speakers. 
@corrupt Ya! One thing to note: sometimes you can get ground loop interference if you've got your PC plugged into the same ground (power strip) as your PC.
If anyone is hearing a whine doing this, that's what it is, and you can get a ground loop isolator for pretty cheap!