Generally, when you record with a microphone, you would also be recording the sound coming from the speakers, this would not be a good idea; but, regardless, you should hear it unless the sound device you have is not full duplex, if it is not... then you cannot record and playback at the same time, you can only do one or the other. That would be a hardware limitation.
Most sound cards today are full duplex; basically 16 bit (or 24 bit) recording and playback at the same time capability.
One of the major problems for sound recording is that not all computers have sound cards. Today, most main boards have these integrated sound chips, and they are not always full duplex, some are, and do the job well, but they still are not ideal for true recording. I guess the only way to determine if your sound device is full or half duplex is to contact the manufacture.
SoundBlasters have been full duplex for as long as I can remember. Is it possible that your device says 16 bit (or 24 bit) recording and also says 16 bit (or 24 bit) playback? If so, then you have a full duplex card.