This is surely the most common problem for beginners but unfortunately it can have very different roots.
But most probably, either your latency is too low for your sound card, or you are asking too much out of your CPU.
In both cases, increasing the audio buffer size is more than likely to solve the problem. To do this, open the "wave engines" configuration tab, locate the engine in use (its name should be in bold) and click the associated "config" button.
A second dialog will popup, allowing to set the audio buffer size, and for multi-buffered and polling engines, you can also change the buffer count. For ASIO engines, you can't set the buffer size directly, you must instead click the "ASIO control panel" button and change the buffer size there.
If this doesn't solve your problem, please browse our technical support forums and read especially this post
. If you can't find your answer, ask your question over there. Properly setting up a PC for live performance is not trivial, so don't be afraid to ask.