If you're on Windows, you have to figure out how to get your outputs connected to your inputs, at least that's the way I do it. I've got a multi input/output interface so it's not to difficult.
1> I set up the main Windows system, to play through outputs 3/4 on my interface.
2> On my interface I plug my outputs 3/4 into my inputs 3/4.
3> On a track in Reaper I select my stereo Inputs 3/4 to record with.
4> Then with Reaper set to play through my stereo outputs 1/2, I can record and listen to what I'm recording at the same time.
There are some software programs available that are supposed to help get the job done, with out doing all that, but I've never been able to get them to work.