Double check your motherboard and motherboard manual, your motherboard might have headers on the board instead of a physical serial port. You'd have to get something like this to allow attachment of a cable to it.
If your board really doesn't have a serial port, you will have to invest in a "Remote Management" card of some type, which will redirect BIOS/UEFI-level KVM in hardware to serial or Ethernet. An example of one is here.