I'm assuming you are using a Windows 7 operating system.
It's very easy to do this, simply follow these steps;
Click on Start > Control Panel > Hardware and Sound > Sound (Manage Audio Devices).
Now you should have a small window appear, at the top select the tab called "Recording".
You should see your microphone in the list of devices, select "Microphone" and click on "Properties" below.
A new windows should appear, click on the "Listen" tab and then click on the box with "Listen to this device".
Click Apply.
That should take care of everything for you.