The PreSonus device should have come with recording software. That would help to determine if it’s an Audacity configuration issue, or something with Windows (or the interface). Other than configuration/set-up issues, the software shouldn’t make a difference… As long as you have a Windows driver, your audio device should work with any Windows audio application (just like your printer works with any application).
You should actually be able to configure the Windows Mixer to hear the sound from the microphone with no applications running. (You may get feedback if your mic is too close to your speakers). You may need to install the drivers if it doesn’t work with the Microsoft-supplied USB drivers. Windows has separate recording & playback “mixers”, so you you don’t always hear exactly what you are recording, but if you can get the digital audio from the USB port into your computer and to the computer speakers, you should be able to record it.
Have you tried the analog outputs (headphone or line) to see if you are getting sound into and out-of the device?