This is the latency of your system!!!
You can set up it in "audio preferences" in cakewalk. This is the time needed for your system to convert the signal from analog to digital, and process it. Depending the quality of your sound card, of your hard drive, etc... it more or less important. A good sound card allow a 4ms latency. A bad one can intriduce 100 or 150ms... that's one of the bigest difference ;-)
If you don't want to ear the processed sound of what you are recording, you have to set up your sound card to listen directly to your inputs. Depending what is your sound card it's possible... or not
