Hey Frank,
If you refer to the diagram I posted and change step 3 to 'click the playback button' then go to step 4 (making sure to click 'ok' when you've done this) finish with step 5 and you should be able to hear yourself.
I was assuming you were playing into a recording program - but if you just want to hear yourself then you gotta tell windows to use the line in for playback and recording. I have my playback switched off as my recording software lets me monitor through its recording channel, it sounds like Windows sound recorder doesn't...
for free recording software a lot of people use
Audacity or
Kristal to record with very impressive results.. make sure to use
ASIO4ALL to get rid of latency (playback will be out of sync with your picking)
regards
Mick