This is going to sound over simplified, but it's often the simple stuff that messes you up.
1. Make sure the microphone connector is plugged into the mic jack. I have plugged the mic into a speaker jack more times than I want to admit. Verify with the sound card manual that what you think is the mic jack is actually the mic jack. The mic jack tends to be red or pink, but some manufacturers like to be "special".
2. This is for Windows XP. Under Start/Settings/Control Panel/Sounds and Audio Devices, go to the Audio tab and make sure your sound card is selected as the default device for Sound recording. Also go to the Volume tab and check the box for "Place volume icon in the task bar". Click OK.
3. Right click on the Volume icon in the tray and select Open Volume Control.
4. Click on Options/Properties. In the "Adjust volume for" box select Recording. Make sure the Microphone box is checked in the "Show the following volume controls" box. Click OK.
5. The volume control window should now have the title Recording Control. Put the microphone volume slider all the way to the top and make sure the Select box is checked. The balance slider should also be centered.
6. Open Start/Programs/Accessories/Entertainment/Sound Recorder. Click the red button and start talking. The green line should go all squiggly when you speak. Click the stop button (black square). Click the Play button (triangle pointing to the right). You should hear what you just said.
If this doesn't work, either the sound card or the microphone are probably bad. Before you rip out the sound card though, see if you can download the latest drivers for it. Uninstall the existing drivers, reboot, and install the new drivers. Go through steps 1-6 again. If it still doesn't work, it may be a bad card.