Make sure you have the latest drivers and download and read the manual from M-Audio (select USB Audio Series in the first box):
http://www.m-audio.com/index.php?do=support&tab=driverM-Audio products don't usually work with Windows XP Media Center Edition - what operating system are you on?
You need to choose "M-Audio USB codec" or similar name in Recording Device in Audacity Preferences. I suspect it will not provide input options in the Audacity Mixer Toolbar, if you see such options there then you are still picking up your usual sound device. Restart Audacity and try selecting M-Audio as recording device again.
Try the Forum:
http://www.audacityteam.org/forum/if you need more help - someone there may have direct experience of the device, but we do know of people using it with Audacity so it should work. Please update to the latest version of Audacity from our web site.