I had to connect to male 1/8 inch speaker cords together. I don't have a dual-female connector, I decided it would be really easy to use one of my laptops to do this. I was wrong. On Linux, the audio is _way behind_ and very crackly when played (audio in being played through audio out). On Windows, apparently Dell ships with some rather crippled audio drivers that don't allow you to even see the mic input in the sound control. To fix this, you need to install the real drivers here. Once installed, reboot. Then you will be able to play through the speakers what is coming in through the mic. This worked for me on both an Inspiron 1501 and 9400.
On a side note, does anyone know why, when I record through my mic on my desktop (Intel HDA onboard), the audio is crackly. It isn't a microphone issue, as I have connected my amp up directly to the sound card and turned it almost all the way down to make sure it isn't overpowering the soundcard, and even with the tiniest amount of noise, I have crackling in Audacity. On Vista, I can't record at all, even with the mic input unmuted.