What you need is to turn on input monitoring. There's lots of detail in the manual, pages 4-18 to 4-22.
Basically, do the following:
1. Choose the Options-Audio menu, select the Input Monitoring tab, and highlight the sound card(s) you want to enable monitoring on. Click OK.
2. Make sure the Audio Engine button on theTransport toolbar is "pressed"
3. Insert the effects you want to play with in the track you're recording on - make sure the input and output cards are the same for this track
4. Play away!
NB It's worth starting with your speakers/headphones turned pretty low, in case you get feedback problems.
Also, you can't use the "overwrite" recording mode with Input Monitoring.
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However, unless you have a powerful PC and a decent soundcard (with good WDM drivers), your latency will be too high to let you play comfortably.
Personally I find 5-10ms latency is just about OK for singing or playing keyboards, but guitar really needs latency below 2ms. You may find you can put up with higher latencies, but I find the slight "echo" very off-putting.
Hope this helps
Alastair