A directional microphone is the best companion to Vox Studio. It helps reduce stray noises from the PC's power supply fan, coughing colleagues in the office, passing airplanes, the office photocopier or fax, etc. You don't need a very expensive microphone, just a very directional one. The poor transmission quality of the telephone networks does not justify an expensive studio microphone. A directional microphone that picks up nothing else but your spoken words and no background noise is, however, a real blessing.
Make sure the output impedance of your microphone is matched to the input impedance of your sound card. Also, in case your sound card has both a line input and a microphone input, make sure you connect the microphone to the correct input. Typically line inputs expect a high AC input voltage from a high impedance device. Microphone inputs, on the contrary, expect a low AC input voltage.
Try your microphone with the built-in recording capability of Windows before you purchase a Vox Studio license.