When you plugged it into the microphone jack, did you get any pop-up messages about configuration? If so, click on that and it should bring you to tests and settings.
If you're using Windows, check Control Panel (in some version the option you want will be called Sound) and ensure everything is recognized, enabled, and using up-to-date drivers. You can increase sensitivity on your mic.
In some programs it's very easy to mute yourself, so be sure you're not muted, in the program or in the OS. Make sure the microphone line is fully in the mic jack. It can be as simple a problem as that.