Windows and Linux
To monitor your recording, open your computer's volume control panel. Turn up the playback volume and turn off the “mute” checkbox for your recording source (usually “microphone” or “line in”).
If this does not work, open the Audacity preferences. In the “Audio I/O” section, turn on the “Software Playthrough” option.
Mac OS X
Open the Audacity preferences. In the “Audio I/O” section, turn on the “playthrough” option. “Hardware Playthrough” is best if it is available. If it does not work, you can choose “Software Playthrough” instead.