The hardware mixer in the card most definitely does provide for monitoring the input and mixing it with the output.
start > control panel > M-Audio Delta AudioIn "Patchbay / Router" (second tab) you want H/W Out 1/2 to be Monitor MixerIn "Monitor Mixer" (first tab) you want to NOT mute and set maximum volume for all three of...master volumeWavOut 1/2H/W In 1/2If you are using SPDIF instead of analogue for input or output, NOT mute and maximum those instead.In your recording program, if you use H/W In 1/2 as source you will record just what is input to the soundcard (your vocal?), if you use Monitor Mixer as source you will record what you hear.Beware of clipping (too loud levels). Stay out of the red. Reducing the levels in Monitor Mixer does not help - you need to reduce the input level before the card.Hope this helps.Cheers,David.(I am also using the 2496 under WinXP)