Boo,
It may be that you need to go to the options page or sound options or audio settings in cakewalk and make sure you have the box checked for ALLOW PLAYBACK WHILST RECORDING. .... I don't use cakewalk so I can't tell you how to do it step by step but maybe someone here who uses cakewalk can. I use cool edit pro (I could tell you how to do it in that )

I had exactly the same problem once and that is what it was.

If that fails to work then your soundcard is not capable of playback whilst recording but as long as your pc is relatively modern it should be ok.

Hope this helps
Tony