ASIO (Audio Stream Input/Output) is the dominant standard that fancy audio applications and soundcards use to make musical things happen in realtime in Windows. This article does a fantastic job of explaining how and why it works – probably because it’s written by a programmer with a sense of humor. He even gives the tools and steps for all you .net programmers to build your own app.
Probably too much info towards the bottom, since it’s written as an intro to an open-source code project, but the rest if pure understanding gold.