Latency is a fact of life when dealing with digital audio. It is unlikely that the laptop has the routing in it that would allow you to simply route the digital usb audio straight to the DAC (digital to analog converter) that supplies the audio out. Instead the digital usb data has to head into software (whether it be an ASIO driver or something more powerful like Audacity, Sonar, or Live) and then get told to turn around and go to the audio out. All that adds time (typically measured in milliseconds). Human hearing can perceive anything longer than about 5ms though it really only becomes an annoyance at 20-30ms. I find trying to track a guitar part with anything over about 20ms to be an exercise in frustration requiring multiple takes. The "audio card" that I use, a t.c. electronics studiokonnekt 48, has built in routing to provide near-zero latency monitoring.
All that said Z... I agree that ASIO drivers are your bet (over WMD). If your USB Microphone manufacturer doesn't have ASIO drivers you might try
ASIO4ALL. I suspect you will still notice at least a little delay between when you speak and when you hear what you said but it should be better than trying to run it into Audacity and then back out. You may also check out
Virtual Audio Cables. It can be handy for simply routing audio from one device to another without the overhead of a DAW.
Hope that helps.