USB mics are not ideal for use with recording software like Cakewalk.
The advice to return it and buy a condenser mic or at the very least a dynamic mic is good advice.
Since you have a low post count, I will assume you are relatively new to recording. If so, your best option is to return the mic, get a "normal" mic....either dynamic or more preferably a condenser, and buy a music specific interface from Focusrite, Roland, M-Audio, Presonus, etc..... While the interface also connects via USB, it is not even close to being in the same category as a USB mic. A good interface makes this recording hobby easier. It resolves a bunch of problems.
there was a sticky post that told how to set one up... but mostly that is something that the more experienced users might try since it is pretty complicated to get 2 sound cards to work together. Nope...I do NOT recommend trying that at all.
Edit: I tried to find the sticky... since they revamped the forum site, it's not where it used to be.... so I have no idea where it went to.