Audacity?

On the menu bar, click "edit." At the bottom of the drop-down, click "preferences."
In the pop-up, click "recording." On the right, you will see a box under "playthrough" that can be checked next to "software playthrough".

BUT...if your computer is like mine, you won't like it. There is a latency (delay) between what you play and what you hear, in my case making it impossible to play and listen to myself at the same time. If you're wearing headphones, it works better just to uncover one ear so you can hear yourself while you're playing.

If you click the other button instead (overdub), you'll hear the backing track, or whatever you have imported to record on top of, while you are recording. You will hear both yourself and the track when you play it back.

Latency can also present a problem that you might notice when you play the recording back. If your playing is "behind" the backing track, you can "time-shift" your track to get it right.

Hope that helps.