From memory, the "Preferences" menu on Audacity should be able to select between the Behringer and the built in sound interface. Just make sure the Behringer is plugged in and has been detected by your computer before you open Audacity and go to Preferences.
The UCA202 does not need any software to operate, it will be seen by any audio software in the computer under the preferences, if you are using windows media player or just want any audio from the computer to play through it select the USB audio device under the windows audio in control panel. I have a windows machine with itunes playing through the behringer no problems.