The (3-pin) S/PDIF Header is located next to the Auxiliary Fan header and both of these are in the corner of the board near the last PCIe X1 connector. This is documented in section 1.1.2 (Board Layout) of the board's Technical Product Specification (TPS), which can be downloaded here: http://downloadmirror.intel.com/18128/eng/DX58SO_TechProdSpec.pdf.
Spearson, Thanks for the reply but that is the specs for the DX58SO Board, not the DX58OG. Look at the OG specs and you wull see there is no S/PDIF header. It looks like I need to buy an Audio Card with S/PDIF out to get audio to the HDMI. If you look at the product brief here:
You will see where it says it has it when it really doesn't.