You can also connect line-out of your cound card with line-in (or speakers out with mic in) using an audio cable (that has a 3.5mm mini-stereo male on both sides).

And you can buy a sound card that has a "Wave Out Mix" / "Stereo Mix" / "Record What you hear" or a similar option.

More options:
Missing sound recording option "Stereo Mix" / "Record What you hear" / "Waveout mix"