"I can hear myself in my headphones when I speak over the mic but it isn't broadcast to anyone else."
Do you always hear what you say or just when you are tuned to yourself to test it? You shouldn't hear yourself, you may have to go into Windows and 'mute' the mike for playback [ I think thats it ]
The only time you should really hear yourself, and this is a good way to check your vox settings, is when your tuned to yourself. Type your gameID into the V radio in the message window or the dot command .radio 5 [your gameID]. Use t to transmit and you'll transmit to yourself.
Sidenote- make sure your sound hardware acceleration is set to 3/4 max, you can do this thru the DxDiag utility, under 'sounds'.