What does that little ~4 pin cable that runs from your CD Drive to your sound card do? Is that just to allow you to play music cd's on you computer?

Yes. It goes to one of the sound card's mixer inputs, and if you open up the little Sound Mixer crapplet on your task bar, you should see an option for the CD Audio volume level.

This is assuming you're talking about the same cable I'm thinking of. These days there's a lot of different cables that might come off of CD-R and DVD drives. But CD-Audio is the most common one so I assume that's what you're talking about.