You should check your microphone levels are high enough to be heard. Most games etc have their own control for the mic. Firstly you would be best muting the microphone from your own speakers as this will only cause you reverberation and eventually just distort your speakers and any sound your trying to transmit. You do this by opening the volume control and on playback check mute under microphone.
Next I would double check your mic input volume, whilst in the volume control (assuming you're using windows standard control) click options then properties and select recording - making sure you have microphone checked. Make sure microphone is set as your recording source and the volume level is set high.
You may also have a microhpone boost control which could help. This is found again in the recording section of the volume control. Click options then properties and select advanced (if available). This should make a button named advanced appear under microphone, if you click this you should get the microphone boost option.
The next thing I would do is check your sound options in-game and make sure there is no boost control or sound level for your mic.
The problem with cheaper microphones is they rely on your sound card to do all the sound processing. The more expensive microphones such as usb versions, appear as their own sound device and are much better at picking up sound.
I hope this helps.
Ben, March 2008