hell i only say midi because cakewalk said "you need to choose a midi output source to listen to play back".
I suspect you are in the section of the manual dealing with MIDI. You might try using the section for recording
audio.
Most Cakewalk products will record either MIDI or audio (or both). You will be dealing with audio.
I gave you the answer in my first post.
Simply put, you plug the mic into the pre-amp, and then feed the pre-amp's output into your computer's sound card.
As noted in the other posts, you will need some adapters to do this - since the output of your pre-amp is 1/4" phone plugs, while the input to your sound card is 1/8" stereo mini-plug.
Once you have the physical connections made, you will need to profile your sound card in Sonar (I assume you are using Sonar), and then select an audio track and choose an input. The inputs should show up as something like SoundCard Left, Soundcard Right, and Soundcard Stereo. Since you are recording from a mono source into a stereo input, your signal will most likely be carried on the Left Channel - so choose Sound Card Left as the input.
Set the output on the track to Soundcard 1/2, and whatever you record should playback through whatever speakers you have connected to your computer.
I realize you are a newbie, but you've got some really basic stuff to get down first. It would seem to me that you would have done a little more research before plunking down a couple hundred bucks on recording software.