Make sure that under "Setup - Voice" your "Input Device Options" are set up properly. IE: Make sure the sound card that your mic is plugged into is selected. Also try toggling "Use Direct Sound"
Also make sure that your input options are correct in Windows. Control Panel -> Sounds and Audio Devices -> Voice. Make sure the Voice Recording Device is the sound card your mic is plugged into.
Not to imply that you are an idiot, but make sure your mic is plugged in/not muted. I always mute my mic accidentally
Edit: You can test if your mic input is working from the setup screen. Just press test at the bottom, hold your key and talk. When you let go, it should play back what you said.