Skype features a Test Call option you can use to make sure that everything is set up on your computer. It allows you to speak and then listen but in case you can't hear yourself, make sure that the jack is plugged into the Pink whole on the back of the audio card and it's enabled in the Sound manager application that is found in the Control Panel. Most likely, the microphone is mutted and a it needs to be turned on in the configuration settings.
