Sound cards achieve a couple of purposes.  They consist primarily of a Digital Signal Processor, or DSP, and a CODEC, or enCODE deCode.  In the case of windows playing a sound, such as through a game, the sound signal is passed down to the sound card.  The Digital Signal Processor then decides what to do with the sound, what channel the sound goes to, (and in many cases can even add effects on the sound if you so desire).  Once the sound has been manipulated, it can only be output in one of two (2) ways. 

If you have an external digital decoder, there is nothing else the sound card needs to do.  It outputs the resultant signal directly to the digital decoder which does the rest of the work.  Many people, however, do not have that.  This is where the CODEC comes into play.  The CODEC used to be a separate Digital Analog Convertor and Analog Digital Convertor.  However, typically these units are now merged.  The CODEC takes the digital signal, changes it into analog, and outputs the signal to a standard pair of speakers.

The sound card, able to process so much, takes a considerable load off the processor.

Most motherboards are now coming with a respectable onboard sound solution.  Northern Protocol Inc. still encourages the top-end card for the purist, so the CPU doesn't have to do all the work that the sound card would have.   We liken it to using separate Digital Decoders on CD transports.  However, we also acknowledge that with onboard sound improving so rapidly, in many cases the onboard solution will provide more than an ample solution.