I believe you bought the wrong plug, or maybe you're just putting us on. If you're putting us on, shame on you. If you bought the wrong plug, go back to Radio Shack and exchange it. You appear to have bought an RCA mono splitter, not a mini-jack Y adapter.
While you're there, get a dual RCA cable instead. Your Audigy has a variety of I/O ports, and the red and the white brass nubbins are left and right stereo outputs. This is a cleaner connection than the mini-jack.
If you really want to get fancy, you can buy a single RCA cable and connect it from the single black brass nubbin on your Audigy to the single black or orange nubbin on the Onkyo. That would be a digital connection where the Onkyo is doing the decoding. There is also an optical output with a small cover on it, and the Onkyo probably has an optical input, but on the Audigy and most consumer cards the optical conversion is generally inferior to the digital coax (black nubbin).
Of course, you'll have to match source and destination I/O ports and that can take years off a man's life, so you might want to listen to the radio instead.