I'd go with what Superyoshi partially danced upon...which is using Stereo Mixer or Wave Mixer for your recording input. Here's a quick step by step for Windows XP and probably other Windows operating systems:
1) Enter Volume Control from the Control Panel or by double clicking
the speaker/megaphone icon that's usually idling in your taskbar.
2) Once open, go to Options ---> Properties
3) With that open, switch over the radio button (the circles that you click to move the dot to) to Recording.
4) Check the list below for a name like "Wave Mixer" or "Stereo Mixer" and make sure its box is checked.
5) Click OK and you're brought back to the main Volume Control window, but now it's in Recording Control. Make sure that the "Select" checkbox for Stereo Mixer is checked.
6) You'll want to keep the recording volume for Stereo Mixer fairly low, probably best sandwiched between the first and second notch.
7) You can now close out once the "Select" box is checked and your volume is set. Now start recording in most any program and perhaps have a test run by playing an MP3 or something easily accessible that produces noise through your speakers/headphones.
That's about as much as I can help you on that subject.