I'm not familiar with the particular CD model you reference, but there are two ways for a CD to output music - digital or analog.
For analog output you have to have a cable connecting your CD player to your sound card. This cable is not required for digital output.
The control over analog vs digital output is directed by the software you are using to play the CD's. Some software allows a choice of analog or digital output, while others only allow analog.
If you are using Windows Media Player, then you need to have the most recent version (version 7, I believe). Earlier versions only allow analog output - which means you would need to have the connecting cable. Download the new version of Media Player, then check in the options dialogue for "allow digital output". This should fix your problem.
You can also do this using the latest version of WinAmp, and probably other software as well.