are u using an electric or classical/acoustic guitar?
if you're using an electric guitar, you could get a guitar cable and a 1/4" to 1/8" adaptor.
plug it to the line in if there is, otherwise to mic in of your soundcard. Whichever sounds better will do. Check that the volume from your line-in/mic-in is not muted.
if there's no plug in from your guitar, you could use a microphone that goes to the computer.
or alternatively you can always jam without plugging to your computer. Just use a guitar amp and play along with your computer speaker sounds.
You don't really need to plug in to jam unless you wish to process the guitar sound in some way (add computer effects, record, etc).
Hmm, experienced guitar + com users, care to correct/add on to this? Would help a lot... this seems like good sticky material here.
*it's 1/8" not 3/32". That's what been mind-boggling me.