Hi Arsimantur, welcome to Theremin World.
Processing audio on a PC requires three steps - getting the sound into the PC, doing something with it, and getting the sound out again. I'll deal with these one at a time. Note that I don't have a Theremax, I have a moog etherwave, but the same thoughts apply. (I assume the theremax gives line-level output.)
First, getting the sound in. Hopefully your PC has a decent sound card built into it. There'll be either a mic-in socket or a line-in socket, probably 3.5mm mono. You're going to need a 1/4 inch female mono to 3.5mm male mono adaptor. If your PC can handle stereo then you'll want a stereo to mono adaptor too.
Mic-in or line-in refers to the power of the signal that it expects. Microphones produce a tiny signal, line-level instruments like keyboards and theremins produce a much more powerful signal. If you have a mic-in you'll need to turn the theremin signal from line-level to mic-level. A "DI Box" will do that. They're available at a variety of prices; a cheap one will do fine.
If you don't have a sound card, or if you find the audio quality is not satisfactory, then you'll need to get one. External sound cards (or audio interfaces) are easiest to set up. I use an M-Audio Firewire Solo - it's a nice simple one, designed for singer-songwriters rather than bands, so can't take a whole load of inputs at the same time - just a couple. You can plug pretty much anything into it and it digitises the sound and squirts it into the firewire socket of my MacBook (which has line-in, but I wanted to up the quality a bit.) You can also get audio interfaces that plug into the USB2 port of your computer if you don't have firewire.
Once you have the sound inside your PC then there are different levels of audio processing.
The simplest is to use VST plug-ins - they come in a variety of prices, from free to very expensive. There are tonnes of free ones that do a whole bunch of different things - many emulate guitar effects pedals. Because they are plug-ins you will need to run an audio editor that they plug into. Be careful here - not every editor can use them in realtime. The very popular Audacity, for instance, insists that first you record the sound, then process it, then play it back. You need a program intended for use in live performance, like Ableton Live. I expect there are free programs that will host VST plug-ins and let you use them in realtime, but the world of PC software is a mystery to me. I use GarageBand, which is Mac only.
Next up the complexity ladder is to use a virtual modular synth. For instance Max/MSP or its freeware equivalent Pd (Pure Data) - These are very popular choices amongst experimental thereminists. (They can also be used to make VST plug-ins, which gives you some idea of their power.) You get to work in a graphic environment, but they take a bit of learning to get the most out of them. I'm currently looking to use Jasuto Pro on my iPod touch, which is a cheap 'n' cheerful alternative - kind of a mix between Max/MSP and a virtual Reactable. A friend built me a little adaptor so I can get line-level mono in and out of it, and am just waiting for Thierry to finish modifying my etherwave and send it back to me. ;-)
For hardcore programmers, like Thierry, then just code it up yourself in C or whatever and get exactly what you want. Good luck with that!
Finally, getting the sound out. If you went for the external sound card option then just plug into that. Otherwise the headphone out socket will work fine. Either plug it into your home hi-fi or computer speakers or, if you have a musician's amp, then use that. You'll need to convert stereo to mono, and 3.5mm to 1/4 inch. If you've got a cheap guitar amp then you might need to turn the volume down on your computer quite a lot - guitar-level is between mic-level and line-level. Headphone-level is broadly equivalent to line-level at f
