this would depend on the OS. On vista, right click the speaker icon in the corner on the task bar and select playback, click on your default playback device, click on the properties tab. you should see the microphone somewhere in the list, you may need to scroll through to get to it. move the slider to the right and make sure it is not muted.

In win 7, right click the speaker icon and select record, then select the microphone you are using. Now click on properties tab. On the next screen there is a tab labeled Listen, click on it and then enable the option to hear the sound from the mic.

you should now hear your voice when recording. try also using avdvanced options and setting the quality to dvd. I find it cuts out a lot of background noise for cleaner vocals.