I don't know about ffmpeg specifically, but
Here's something to try..which has worked for other programs like audacity or sndrec32.
just generally tells windows to record what would come out the speakers before it comes out. Instead of taking input from the mic or line in. This has then worked when hitting record in programs.
Open the volume control(start..run..sndvol32, or the icon in the tray), then go to options..properties..recording..then check boxes stereo mix and mono mix. Now choose Stereo mix or mono mix.
Then if I recall, when you open start..run..sndrec32.exe if you play things and hit record it should pick it up. Instead of things from the mic again when you want it.
And remember to change it back so you get recording from mic again!
It worked for the few programs i've used.. So it may help for ffmpeg too.