I think the problem is a simple misconfiguration. I think what is happening is that you are playing music in Cool Edit wich comes out of the computer and into the mixer. Your microphone is plugged into the mixers preamp. The two signals get mixed together, go out of the mixer into your headphones and back into the computer where it is recorded again. Do you see the problem? You need to stop the signal from the computers output from getting back into the computers input.
Make sure the Tape to control room is on.
Make sure the Tape to Mix is off.
FX to Control Room shouldn't matter.
If that doesnt work (It should) you can try the following.
1. Plug the FX send of the mixer into the input of the computer.
2. Plug the output of the computer into the line in on the mixer.
3. Plug your headphones into the headphone jack.
4. Turn the Level knob of your microphone channel all the way down.
5. Adjust the Gain of that channel appropriately.
6 Turn the FX Send of that same channel all the way up.
7. Turn all of the other FX sends all the way down.
8. Push all the buttons (Tape to Mix, etc...)
Your recorded signal is actually coming from the effects send.
If anyone else is interested, here's the mixer
http://www.behringer.com/02_products/prodindex_ub.cfm?id=UB1202&lang=eng