You need audio recording software. Google 'Sound recording Software.' I use an ancient version of Sound Forge. It will record what is going through the computer sound system while it's in record mode.
It will be easy if your OS is Windows: do following steps
Start->Run->Input: C:\WINDOWS\system32\sndrec32.exe, then a built-in recording software will pop out.
I like using this program to record audio that is playing on my computer.
Please check out this: http://www.capturestreamingaudio.net/