Audio input on SX2210 not working

Hi all,

I just setup my new Dell SX2210 as an external monitor to my Macbook 13''. I am using the DVI cable to connect to the monitor.

I wanted to know if I can connect the audio out (headphone jack) to the monitor audio in?

I tried this and there is no sound from the monitor. Makes me wonder if the monitor even has any in built speakers???

RS