I'm glad you think that's a simple question - it's often anything but!
For a start, it depends entirely on the hardware you are using. For instance, the chances of being able to do this on a laptop using the internal hardware aren't so good - the manufacturers often prevent this because they fear that people will get themselves into feedback loops. If you are using external hardware with a headphone socket and a control panel, then you set up monitoring directly through that, because any form of monitoring going through the PC is going to suffer from latency - so what you hear will be delayed slightly, and this is incredibly off-putting.
So, the first thing you need to tell us is exactly what hardware you're using...
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