You will need a cable to connect your oscillator to your computer. The cable you require has a 3.5mm stereo jack plug on both ends and is sometimes shipped with iPods or music players. If you do not have one you can buy one from Rapid.
The circuit is quite sensitive to the precise component values and hence you may get some variation from the examples shown here.
As you increase the potentiometer you should be able to hear the oscillator go through a period doubling sequence before entering chaotic behaviour.