Is it "picked up" or is it recording? You have to record the sound in order to play it back. If you've done that, and are playing the audio file, which you can't hear, you may need to go into Control Panel and adjust the microphone's recording volume. If that all doesn't work, then you may not be able to play back the file format. Google a file converter if that is the case.
Otherwise, call the manufacturer for tech support.