Can anyone tell me how to use this thing? I was told and read that the Ling 6 POD Studio GX would allow me to connect my guitar to my computer..

That works fine. I downloaded Audacity and basically I just select the recording input as "Line 6 Device" and Audacity is able to record my guitar. All I have to do is make the default output in Vista my USB headphones and everything works fine!

But the problem with that setup is that I have to press Record in Audacity and then play it back.

Is there any program that will take the input from the Line 6 Device and output it immediately to my USB Headphones, as opposed to having to record then play back?
select the software/hardware playthrough option in audacity settings.