Ok, you have an audigy sound card? there should be some kind of inteface or control panel for the audigy. you need to find it and reduce what is called "latency". latency is the gap or delay between what is played and what is heard. if the latency is to large, there's a big delay and it gets hard to play along with pre recorded stuff. But very low latencies are very demanding on computer resources. so you need to find the right latency that's low enough to be comfortable for your playing but that won't cause computer glitches. you need to experiment.
but first you need to choose a driver (asio is probably your best bet) and then adjust the latecy settings. this can also be done in software like sonar or cubase. but you can also do this through your sound cards interface or conrol panel. your fist step is finding this interface.
my question is: did you correctly install all the drivers that came with the audigy?