Pro-Ject turntables don't have built in speakers, so they will need to be connected to a sound system of some kind. They can be connected to almost anything with an auxiliary jack, but they do need a special device called a "phono stage", or "phono pre amplifier". This takes the tiny, tiny signal that is produced by the movement of the stylus in the groove, and boosts it up to the same signal level you would get out of any other normal audio equipment. You can get the phono stage already built into some Pro-Ject turntables, or you can buy a small external box to do the job. Some hi-fi systems will already have this built into the amplifier too.

To find Pro-Ject expansive range of phono stages, have a look here.