OK, I take it you don't have a professional or prosumer soundcard. You don't need one if you're just starting out, but I recommend getting the ASIO4ALL drivers for your crappy AC'97 or SoundBlaster Live (or whatever you use). You can download them at
www.asio4all.com. They're better drivers for use in software such as Reason, Live, Cubase etc.
Eventually though, an upgrade to a better soundcard is a good idea.