cpu = central processing unit, or processor, like a PIII or AMD Duron or Athlon.
sound cards with built in DSP allow for real time audio processing with ultra low latency. one sould think twice about onboard DSP these days because 1) you can only use software that was written for your card if you want to take advantage of the onboard DSP, and 2) cpus are getting faster and cheaper all the time. and as pointed out, onboard DSP (DSP on the soundcard) can be expensive. with a fast computer one can play soft synths in real time with programs like CUBASE or SONAR without any onboard DSP on the soundcard...with these programs, what is important about the soundcard is that it have good drivers for this kind of application...if you have a good soundcard with good drivers and a fast computer, you have a lot more options when it comes to deciding which plug ins and soft synths you want to use.