if your on xp, go into volume control, click options then properties then click the recording radio button and tick all of the recording channels in the bottom box and click ok
Select different sound levels until you find your stereo mix one(ie whats outputted to your speakers), then just open your favourite audio recording software and when you press record, it will record from your chosen channel
I think they have disabled you doing this on vista, but im not fully sure and i'd also check the legalities of this as im not fully sure what the law stance is on this