Apologies if this falls into the category of the bleedin' obvious, but have you checked that the microphone is plugged into the correct socket? The problem you describe is consistent with the microphone being plugged into the 'line-in' socket, rather than the one for the microphone.
You've not stated which version of Windows you're using (or whether your PC has got a separate sound card) but if there's a loudspeaker symbol at the bottom right-hand corner of your screen, try this:
Right-click on the 'loudspeaker'.
Select 'Open volume controls'
Move all the sliders to maximum. (Because you're using a USB input, the slider you want could be 'Line In', 'Wave' or possibly something else. If in doubt, put everything at maximum).