You do need to set a few things to get it to work. Did you get the driver/software disc with it? Is the driver loaded? It should also install some software called Total Mix and a routing tool.
I will assume you have a Windows machine(?)
1. From within your recording software, you need to go to the Audio Hardware Setup page and tell the software to use the Hammerfall device for input and output.
2. Next you should start up the Hammerfall mixer software called "Total Mix". (This can be found as an icon on your Windows Task Bar.) When viewing the mixer, press the X key to bring up the Hammerfall Routing Matrix. (This connects inputs to outputs, software to outputs, etc.) You must enable at least one output jack that feeds your speakers before signal from your software will go out to that jack.
In the Matrix, the top row represents your recording software channels. The left hand column (upper half) represents the hardware input jacks. The left hand column (lower half) represents the hardware output jacks. Click any box to connect where these items intersect.