connect the Ground of the Arduino to the 'sleeve' contact of the mini phone plug that normally goes it the PC's headphone jack. The sleeve is the long contact at the base of the connector. Connect the output pin to the 'tip' and 'ring' contacts of the mini phone plug. The 'tip' is the end of the plug and the 'ring' is between the 'tip' and 'sleeve'. They are the left and right audio channels.
You will need a USB Host adapter and special software to get your Arduino UNO to read from a 'pen drive'.