If your subwoofer doesn't have an internal amplifier, you'll definitely want to connect an amplifier to it. To do this, you'll need your subwoofer, an amplifier, at least one set of RCA cables (these are the red, white, and yellow jacks on a single cable), speakers, and speaker wires.
First, you'll want to think about where you'll keep the subwoofer. Because the subwoofer is working mostly on the bass (the low tones), it doesn't require as much directional pushing as speakers do. Since you'll have to run cables and wires between the subwoofer and other devices, you might want to keep it just a few feet from your screen.
To get started with the actual hook-up, you'll connect the subwoofer to the amplifier using the RCA cable. If you want a stereo hook-up, you'll need two sets of RCA cables. Connect the subwoofer output to the amplifier input. The jack on the amplifier may even be labeled "subwoofer output," just to make things easy for you. Make sure both the subwoofer and the amplifier are turned off and disconnected from the power source.
You'll then need to connect your amplifier to your speakers. On the back of your amplifier, you should find the speaker outputs. Connect your speaker wires to these outputs -- one into each output. The speaker wires are usually just bare wire ends. Make sure you're connecting the left and right output speaker wires into their corresponding left and right speakers. Sometimes, the amplifier has the positive/negative polarity defined, in which case you'll have to make sure that the proper positive and negative terminals from each speaker are going into the same polarity of the amplifier.
Now, connect your amplifiers to their power source, check your wiring; then turn it on.