If you're trying to record the audio of something you are watching online, you can do that with the Stereo Mix option in Windows. It's available in Windows 7 for any device, but it should be available on most audio devices in Vista and XP.
To enable it in Windows 7, right click on the speaker icon in your task bar and select Recording Devices. You will be presented with the following screen:
If the Stereo Mix option is not showing, you may have to enable it by right-clicking the box of devices and select Show disabled devices. Once it's visible, right click Stereo Mix and select Set as default device and you're done. When you use any program to record, it should now pick up any sounds that are being played through your sound card at the moment. Just be aware that this means it will pick up other system noises as well (like email or IM notifications, system errors, etc.).