What are the specs of your computer?
You may have a problem if your soundcard doesn't support "full duplex" recording (listening to one thing and recording another), or even if it does, you may have problems with latency (it doesn't record as fast as it plays back, so your new track is out of sync with the old track, even though you played along to the old track).
Give us some more info about your system, and what SPECIFICALLY you are having difficulty with, and we can probably help.
good luck.
- housepig