It has been a while since the last post but I will send my solution regardless as it might still help somebody with this issue.
I have an ASUS 9800GT graphics and an ASUS P45 motherboard, the former with a 2-pin connector, and the latter with a 3-pin one. The cable provided with the graphics was exactly the same as on brittnell's picture at the beginning of this thread.
So I had the same problem as he had - no audio via HDMI. After reading through several forums on the web with no useful answer to this and being at wits' end I decided to experiment a bit.
Since the cable has only 2 wires, only 2 pins have to be connected on either end.
The 4-pin cable connector could not fit in the motherboard so I used the 2-pin one, sticking the black wire to the the ground pin and the blue wire to the signal pin.
This had left me with the 4-pin connector for the graphics card. The signal pin was marked with an arrow so I connected it to the blue wire and the other pin to the black one.
One more thing:
Before you start playing with your own hardware make sure you check the motherboard's documentation on the exact pin arrangement. And make sure that it is the SPDIF-OUT connector, not SPDIF-IN as there was some confusion about it earlier in the thread. The same goes for the the graphics card - checkits manual to be sure about the pins' functions.