Ive never used Cool Edit Pro, but I have a copy of the SE edition, so Ill give it a shot...first arm two tracks by clicking the red r....then on each of the two tracks, in between where the pan/volume boxes are and the mute/solo/record buttons are two boxes (on mine at least)....click the bottom one and it gives you the option to choose which device you want to record from, if you want it to record to the left, right, or stereo....set track one to left and track two to right ....try this much and see how far it gets you and then holler back at me....
I know you are probably getting pretty frustrated at this point, but hang in there...once you get it going it will be all worth it....
As far as Winamp is concerned, Ive been told here you should definitely be able to do it, but Ive never got an answer as to how exactly to do it...maybe we should start a new thread on that....