I want to set up a 5.1 audio system in my pc(for gaming) and I have no idea of how do I do it, can I just buy the speakers one by one and connect to the orange, black, grey jacks of my rig or do I need to buy a receiver? And what's the best cost-benefit option to set up a 5.1 system?
Do not buy a receiver unless your sound card (or MoBo) is Dolby Home Theater certified. It would not work as 5.1 just as 2 channel stereo.
There is many prepackage sets of 5.1 analog speakers in a wide range of quality and costs. Search your local dealers for options and budget. Depending on your particular hardware usually you just have to match the color of the jacks with colors of the inputs