Hi Frank,
The way you are connecting looks sound,I'm thinkin' that maybe you need to set up your windows recording control properties....
(I'm assuming you're using XP) follow this: start > control panel > sounds and audio devices > volume tab,then click the advanced tab and follow the instructions on the attached diagram...
that should get the sound out - tell us how you get on
HTH
Mick
*edit*(Beat to the post!) see any of Tek's lessons to help you with most aspects of recording - make sure you take note of the ASIO4ALL setup steps described earlier in this thread as you will prolly need to use it ...