Open your volume control, find your recording devices, make sure that either Stereo Mix or Wave In are ticked (it doesn't matter if you only have one or the other). If you have neither, your sound card does not support recording from the speakers.
However, if you have an audio cable like this, you can "cheat," like I do:
Just set microphone as the default recording device, plug one end into your headphone slot, plug the other end into the microphone slot. You won't be able to hear the sounds while recording, but they will be recorded. It's a lot cheaper and less frustrating alternative than buying and fiddling with a new sound card.
