In addition to TH2, you will need an appropriate sound card/interface connected to the computer where TH2 is installed. Such device should meet the following requirements:
1) It should have an input jack to plug your guitar cable into, similar to those found in common guitar amplifiers;
2) It should have a low I/O latency, which is essential for you not to experience delays between when you pick a string and when you hear the sound from it.
Typically (at the time of writing) sound cards which come integrated into computers don't meet such requirements. Even in the case that you manage to plug your guitar into them, they can only be used to give you a taste of how you would work with TH2. Definetely they can't be used as the "real" thing for playing at home/live.
Because of this, most of the appropriate sound interfaces come as external devices, to be connected to your computer via USB or Firewire cable.
The market has plenty of such products to offer, with varying performances and prices. The typical "entry level" product falls in the category of the so-called "Mobile Audio Interfaces", which are usually small and quite simple to use. Just for you to google some names, examples of such devices could be "Novation nio 2/4", "M-Audio Fast Track", "Guitar Tech Rock Frog", etc.
Once your device has been installed and connected to the computer according to its vendor's instructions, you can open the TH2 Standalone application and choose the newly installed peripheral from the list of input and output devices.
Plug your guitar into its input jack and a pair of headphones or linear speakers to the appropriate output connector.
When you will play the strings of your guitar, the signal will go to TH2 through the sound card and it will be played back to the sound card for you to listen to it after it has gone through TH2.
This should be enough for you to start playing with TH2 at home.
In case you want to play with TH2 during a live gig, the setup is essentially the same, with the difference that the output signal from your sound card will probably have to be connected to the mixer where all the other instruments and microphones are connected, rather than directly to speakers or headphones like mentioned before.
Learn more with this video...