the speakers will plug into a little headphone type socket that will be on the back by where everything else plugs in, you will probably have 3 sockets it could go into, if they are different colours then it will probably be the green one, if they are all the same colour just try them in turn until you find the right one.
easiest way to check the speakers work is to plug them into anything that has a headphone socket such as a MP3 player, walkman etc etc and see if you get sound
the fact that you got no sound when you did the test probably just means that you don't have any speakers in the system, it's fairly rare for a computer to have them built in.