You have to set the "System Mixer" (May be labeled Stereo Mix) as the default recording device. Then whether music is playing or the microphone is being used you should hear both in the PC's speakers. The System Mixer is also needed to record streaming audio from the internet.
To check this, go to the Control Panel/Hardware and Sound and finally Sound. In the Sound Panel, click on the Recording Tab. If the System Mixer (or equivalent) is shown, enable it if needed and then select it as the default playback device. If it is not shown, RIGHT click in an empty area in that panel and then click the show disabled and disconnected devices. If the System Mixer now shows up you can select it. If it is not there, check with your PC or motherboard vendor for possible other drivers that include the System Mixer.