Need more information to know for sure, but there are two common possibilities:
(1) You've got your recording inputs selected to be everything... for a Sound Blaster card, the Windows Mixer used to label that option "What U Hear."
You don't want this because then anything that is coming out of the card is also going into any recorded track.
or
(2) you're using an external mixer and you are routing the signal from the soundcard back into the soundcard's inputs.