Ok, so when I record it's directly from the amp headphone jack to my computers audio in. Problem is that means I can't hear what I play as the sound doesn't come out of the amp, it goes straight to the computer.

So I was wondering about 2 things:

1) Is there a program I can download that takes the sound from the audio in port and projects it out from the speakers?

2) If not #1, would I be able to buy a splitter, so I can plug headphones in the headphone jack on my amp AS WELL as the cable to go to my audio in? So I can listen and record?
I really don't know but if you're willing to spend around $100-150 you can get sweet recordings with an audio interface.
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I'd recommend you get a cheap interface. UCA202's mine. Stereo in, stereo out with extra headphone jack - more than you'll need.