Are you sure that you don't have a microphone plugged in? If so, unplug it.
That would account for a feedback/echo effect. If that isn't the case,
double click your Volume icon in the System Notification area (formerly
System Tray), which will bring up the Mixer. If you have onboard sound
click the Advanced button, and see if there's an option for 3D Effects,
disable it, and see if that gives you what you want. If you have a
different sound driver, the Mixer might be different, search the menus and
button options, or advanced options, or preferences for anything that
resembles 3D sound, or anything resembling Echo Effects and disable that
option.