If you are running Windows 7 you can have audio set up to listen to the mic. I would not recommend this though as there is a slight delay from you talking to it coming out of the headphone. This can cause you to stumble on your words. But solely for testing purposes do this if you use Windows 7:
1. RIght click on the speaker icon in the lower right corner of your display and select recording devices.
2. Make sure the microphone you use is highlighted blue then click properties button in lower right corner of the window.
3. Click on the listen tab, then check the box that says listen to this device.