Since this is the forum for the ProAudio product (most folks using PA9), I'll assume you are using that product and not Sonar or one of the other Cakewalk products.
In the PA9 menu, look at Options>Audio.... then the Advanced Tab. There is an option for Simultaneous Record/Playback. Make sure it is checked.
I'm not sure this will work with all soundcards but it has worked with the several that I have used over the years.
--Larry