hldj.org

HLDJ works, so I will skip to 4 and 5.

4) After loading one of the sample audio files, perform a search of your Steam directory (without stopping HLDJ) for the file "voice_input.wav" - does it show up, and if so, where?
I don't have that file?

5) Does voice normally work for you? If not, or you do not have a mic, have you remembered to set up any applicable options in your operating system and/or the game?
It does when HLDJ is deactivated, but it doesn't when I do. It plays the music file instead of my mic.

#4, if you didn't see that file created then HLDJ couldn't possibly work and you wouldn't hear any audio in #5, go back and try it again.
#5, if your only issue is that audio is playing instead of your mic, then make sure you are toggling off your play audio key when you finish playing audio (as stated in the Quick-Start Guide and getting started)