Please make sure that you have check the "Record Audio" under the Audio Settings. Check that if you have selected the right audio device and the source. For example;
If you are capturing the sound from internet streaming, CDs, sound from player like RealPlayer, Windows Media Player, QuickTime, and what you hear from the speakers. Look for "Stereo Mix, Stereo, Loopback, Wave, Wave Out Mix, Record Master or All".
For sound capturing from the external devices like radio, tapes, CDs, TV, telephone, and etc. Look for "Line-In".
For direct sound capture from mic, look for "Mic".
(Please note that the source name might be varies according to what sound cards you have)
Windows Vista, Windows 7, Windows 8, Windows 10 users please refer to this guide