never tried it personnly (I will at the weekend), but from what i've read, you simply disconnect the ide cable, and put the cd in the drive. if you're lucky you'll have the 'skip track' buttons on the front, if you're not, i'm not sure how you would skip tracks, but hey.
yeah, so in summary, just connect it to power, and connect the audio out to your amp/headphones.
um, one other thing, are you trying to listen to it through the headphone jack on the front, or through the audio out on the back?