Do you have and audio interface with direct monitoring capabilities and you don't have a clue what it is? Then you are an idiot, and I'll enlighten your life.
When you connect an audio interface to your computer, it becomes the default audio input and output device (if you don't change it on purpose). In the process of recording, you plug the audio source to the interface and run a program in the computer to capture the sound. Moreover, the sound that before went through your computer sound card output, now is sent to the interface output (headphones or studio speakers).
When recording, you always need a reference which most of the times is sent to the headphones of the player or singer. This reference can be a metronome or a track, for example. For easy, basic, quick recording, this is fair enough, however for going a bit more pro, it's a good idea to have the sound that you are actually recording, sent to the headphones as well.
Let's say, we're recording a microphone. The main tweak you might think to achieve this is by enabling the interface input to sound through your computer, in your computer OS, so you'll hear the mic through the headphones. In Windows, this is done in the mixer window, and it works like shit.
You'll get your sound, but the processing will introduce a delay in the captured signal (and not in the reference track), that will depend on how expensive your audio interface is, but will always screw your recording attempts.
Here comes super magic direct monitor.
Direct monitoring feature is usually implemented with a switch and a knob to adjust the amount.
It allows you to send the microphone signal, or whatever input signal you have, directly to the headphones jack (almost zero delay), and you will keep listening to the sounds in your computer at the same time. You don't have to master sound engineering to realize you must disable the mic to sound through your PC as we enabled before. (Because if not, you'll have the good signal and the laggy one together).
Now you can plug whatever you want to record to the correct input in your interface and have the reference track you want plus the actual sound you are recording without delay. Magic!