The issue is that Audacity does not include ASIO drivers.  If you are knowledgeable, and adventurous, there is a way to recompile Audacity with ASIO, but I've never tried it, as it is beyond my skills and desire.

Instead, I opted for a full featured recording program that has ASIO.  You might want to take a look at Reaper.  It is free to try, and will continue to work after the trial period.  It is an excellent program, and well worth the asking price.

http://reaper.fm