Start -> Programs -> Accessories -> Entertainment -> Sound Recorder
Any recorder will actually work, that's not the info you need. What you need to know is how to set what is recorded and what is not.
To set all sound to record do something like this:
Start -> Programs -> Accessories -> Entertainment -> Volume Control
Options -> Properties
Click Recording -> Check Stereo mix -> Click ok
Click the 'Select' box under stereo mix, turn up volume
Now use sound recorder or your favorite sound recording program, anything playing through the speakers will now record.