My sound card (SoundBlaster Audigy 2 ZS) supports recording from the "speakers." Check and see if you can:
Go to your Volume Control under Accessories>Entertainment. Pull down whatever menu your have in the top left. Mine is labeled Options, I've seen some called Advanced. Choose Properties. Change from Playback to Recording, check everything, and hit OK. If any of them are called "Wave" or "What U Hear," check the box under them and crank the volume up. You can now use any sound recording software to record what's coming through your speakers.