It's because there is a latency delay from either due to your soundcard or the settings in audacity. If you are using a stock sound card that came with the pc, it could be the problem. If it's just the integrated sound that you are using on a laptop, it almost certainly is the problem.
You can try to reduce the buffer size in audacity (must be in preferences or audio settings or something like that), but reducing the buffer size can cause playback problems (look at this:http://forum.audacityteam.org/viewtopic.php?t=1527&f=15)
Try downloading the Asio4All drivers aswell.
What audio interface are you using?