Yeah, sound card is hardware, it's a physical object and you can't download it (physically impossible). However, if your computer isn't ancient (like newer than say 10 years old), it more than likely already has a sound card built in (integrated into the motherboard or PCI). If you have headphone jack-sized ports on the back of your PC, that means you already have a sound card. You'll need to find out what model it is, sometimes you can find this by opening your PC and looking at the board (if it's a PCI one) or checking the Device Manager in Windows. If yours is integrated (on the motherboard), then it is probably a Realtek (very common) or SigmaTel (Dell uses these), there are others too but these are the only ones I've seen. If your motherboard/PC came with installation CD's, look for the one that says Drivers.
If you don't have a sound card, buy a new one. If you just need basic sound, you can get a really cheap one for like $5-10 or if you listen to music often, play games, etc, you can get a nicer one.