You need a cable like this: 3ft Coiled 3.5mm Male To 3.5mm Male Stereo Audio Cable - White - Monoprice.com
(get appropriate length for your application, 3ft may be too short)
Plug into headphone jack on laptop and the green jack on the back of the projector.
How are you projecting the video wirelessly? It's possible that you just need to change the default audio output device in order to have audio as well as video. Right-click on the speaker icon in the System Tray and select Playback Devices and see if there are other devices listed aside from the internal speakers.
All this is assuming that when you play a video you currently have sound via the laptop's speakers. If you have no sound at all, that's a different issue.