I have just found one in windows.
Here's what I did:
Went into the sound manager in windows,
(Control Panel>Hardware and Sound>Sound)
Clicked on the "Recording" tab,
Right clicked on one of the list items and then clicked "Show Disabled Devices"
A few (depending on system) more item showed up, one of them "Stereo Mix" (or something similar to that, i assume it may say 5.1 or some other "Mix"), right clicked and went "Enable".
Then in whatever program you are using (Eg. Skype) you would set the input device to the "Stereo Mix", rather than your mic input.
I don't think that Skype or whatever you are using will be able to hear the mic at the same time though, however, you could set the mic to play though the speakers and "get caught" by the output as well.
Hope this helps.