It kinda depends on your sound card, but in Vegas, on the track you want to record on, you need to choose, for example, M-Audio Monitor Mixer in the case of my Audiophile card. You basically want to record what's going on in Windows, be it what's playing in Winamp, a softsynth, or even that fuckin "un-oh" sound in ICQ. If it's not obvious which input you want to record just keep choosing different ones until the meters start moving.