If you want to share your voice and the audio you can hear at the same time then you will have to do two things:

1. Change the audio setup on your video conferencing software by selecting another audio line other than the microphone. Select the audio line that mixes all other audio lines. This audio line is called 'Stereo Mix', or 'Record Master', or 'What U Hear'.

2. Unmute the microphone if not already unmuted on Windows sound reproducing mixer. To open Windows sound reproducing mixer do the following: Start > Run > sndvol32.exe

If you use Windows Vista then simply right-click the mouse over the Speaker icon on the system tray.

When might I want to share my voice and the audio I can hear at the same time?

If you want to play a movie inside Windows Media Player for example and at the same time talk to the other person then you will have to set the audio accordingly otherwise the other person will only be able to hear your voice.