I assume your 360 is connected via HDMI ?
I have an old 360, so no HDMI, thus I needed to buy this cable in order to connect it to my monitor (Samsung 2433BW).
For getting sound I have two options.
1. I plug the previously mentioned cable directly in my 2.1 sound system (Logitech Z4).
2. I plug the previously mentioned cable in my PC. This way I have sound for both my PC and 360 AT THE SAME TIME. Very practical in case your PC always runs in the background (well I'm also using 2 monitors at the same time) 
I really don't have much knowledge about this audio stuff, but my mainboard supported it from the start. No sound card involved. It's currently even plugged in my "Mic In" port. Don't know how that makes any sense, but hey it works.
Hope this helps a bit.
