The analog audio cable is used when the CD drive is physically playing an audio CD. The drive plays the disc just like a walkman would and outputs line level analog sound to the soud card where it can be amplified and/or passed to the speakers.
You may find that simply muting the CD output in the windows mixer will fix the problem as well.
You don't need the cable, CDs can be read digitally and a media player such as winamp or WMP can play the music.(This is at the cost of a higher CPU utilization and more CD drive noise)