Problem with line-in and sound coming out...

Ok, I just got my macbook yesterday, and I've done the updates and everything. I'm a musician, which is the primary reason as to why I got the macbook in the first place. I used to do all of my recording on my PC. On my PC, I could line-in my sound board, and listen to what I was putting through the sound board on headphones coming out of the PC. So, I line in my sound board to the macbook after setting the sound preferences to line-in, and hook up my headphones to the line-out on the macbook as well. I start playing my guitar expecting to hear sound coming from the macbook through my headphones, but.... I hear no sound coming out of the headphones!! So I call Apple, and he tells me that that's the way it was built. Is this true??? Or is there some way to line in something and hear the sound coming out of the system speakers or headphones?!? This is torture to me!! I know you should be able to line something in and hear it being played or coming out, like an MP3 player or something... I thank you for all of your help and replies!!

SSCCRAB