Can't hear sound when my mic is plugged in?

I got a microphone yesterday. It works great, but everytime its plugged in, i can't hear the sound of my headphones. It is a Cad u1 usb mic and my headphones are the ones that came with my iphone.

Check with your device manager.(Ctl+run=devmgmt.msc) may be the driver is not installed.

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