Hey Joe,
I don't have the Vocal Studio setup myself, so any advice I give is from what I have seen others struggle with.
I do believe that when you use the Vocal Studio Mic, it registers itself in Windows as it's own audio output, and by default you need to use the headphone jack output on the mic itself to hear any audio. They do it this way so that you don't play back your recordings through speakers while laying down new tracks, to avoid feedback.
If you want to use your speakers instead, you will need to go to the sound properties in Control Panel, and select your normal speakers as the default device. If you are on Windows 7, see my screenshot below for a reference.
http://db.tt/Bhrx4iXt