[Stream Recorder]

Direct sound recording software that can be used in Linux (tested in Ubuntu 9.10)

Audacity (sound recorder and sound editor)
VLC
Sound Recorder
arecord


If your sound card has multiple input and output modes like mine does (analog, digital, , duplex, etc), you might have to make some changes in your sound preferences. In Ubuntu 9.10 right click on the speaker icon in your panel, select the "Sound Preferences", then select the "Hardware" tab. Choose a device to configure and change its settings.

[Stream Recorder]

How to record audio from your sound with Audacity:


Install Audacity
sudo apt-get install audacity
Run Audacity
In the drop-down menu of the mixer toolbar, choose "Wave Out" or "Stereo Mix" as the input source (The exact name may be different, depending on sound drivers of your computer)
Press the "Record" button to start recording sound playing on your computer speakers.


If this doesn't work on your computer, I do not recommend you to use a cable connecting the "Line Out" (speaker) of your sound card with the "Line In" and record record from the "Line In" due to the low quality of such recordings. Try to use the PulseAudio Volume Control instead:
How to solve the Audacity recording problem in Ubuntu 9.10 Karmic Koala (No "Wave Out" or "Stereo Mix") (http://stream-recorder.com/forum/showpost.php?p=15384)

[Stream Recorder]

How to record audio from your sound with VLC:

Install VLC player by running the following in the terminal:
sudo apt-get install vlc
Run VLC
Go to "View" and mark the "Advanced controls" checkbox.
The Record button (red dot button) will appear. Hit it to record audio from your sound card.
The recordings in Ubuntu 9.10 are saved to your home folder (Places -> Home folder) by default. To change the recordings directory select the "Tools" -> "Preferences" -> "Input and codecs" and change the "Record directory and file name".

[Stream Recorder]

If you want to use direct sound recording software (http://all-streaming-media.com/record-audio-stream/direct-sound-recording.htm) for Windows, you can try to run Windows applications with WINE emulator. Some programs work just fine in WINE:

How to install and run Replay Music in Linux (like Ubuntu 9.10)
How to install and run Replay Media Catcher in Linux (Ubuntu 9.10)


Please note that WINE allows to record from Windows applications. So you need to launch say a Windows web-browser with Wine to record with Replay Music (http://all-streaming-media.com/record-audio-stream/Replay-Music-record-any-web-radio-station-or-streaming-music-service.htm) from it.

Alternatively you can install a virtual machine like free VirtualBox, the install Windows onto the virtual machine and use Windows software on it.