Hi Tony,
It's possible that your microphone is plugged into a Line In socket rather than a Microphone socket. Most microphones are unpowered dynamic microphones, and these generate very weak signals. But a Line In socket is intended to receive Line Level (See http://en.wikipedia.org/wiki/Line_level), which is at a higher voltage. The first thing you should check is whether your PC has a Microphone socket, which may have some inbuilt hardware preamplification. Also check that your microphone doesn't have a volume level that is turned down. If you are getting breathy or windy sounds then try speaking across the mic rather than into it, or shield it with something. Apart from that, everything you have been doing sounds right: turn up the levels in the Windows mixer, and then amplify in WavePad. If all else fails, try getting a better microphone.
Alex