The Microsoft offical VGA cable comes with 2 audio connectors (the left white connector, and the red right connector). You will need to plug these in to a stero / amp of some description.
Also the offical cable comes with a converter to (from memory) a 3.5 jack, so if all else fails you could in theory (it did it for a day to see how it was) plug it in to the mic port on your PC's sound card.
Lastly, on the actual plug that fits in to the 360 there is a digital connector there in case you have equipment that can be connected to it for true surround sound and whatever else.
Personally I have mine connected to a hifi, and it does the job perfectly - albeit I am just using the white/red audio connectors so I am not getting surround sound.