Start->Control Panel->Sounds & Audio.
Ensure the Microphone is selected as the recording input & is enabled, and at a decent volume (approx 50-60%).
Ensure you have plugged the microphone into the microphone port (the red one) and not the sound-in (the blue one).
Before testing, ensure that you have enabled the Microphone from the mixer panel. Sound output from the microphone is disabled by default to prevent positive feedback.
Turn it the microphone OUTPUT off (in the mixer) when you are finished, unless you love the sound of your own voice .. mangled by low quality sampling.