Go to: Control Panel > Sounds and Audio Devices, then click the "Audio" tab.
Under "Sound recording", click the Volume button, a selection of sliders should come up.
If "What U Hear" is there, select that... otherwise, select "Stereo Mix"..
if neither are there, click "Options" > "Properties".
Under, "Show the following volume controls:", check Stereo Mix / What U Hear, then click OK.
On the list of sliders, choose one of those (check the Select box underneath)..
and now you should be able to record everything that comes through your speakers.