I just wrote a long reply and it got lost when I hit submit by timing out. That really freaking sucks.
So here goes again.
In winxp, you can go to:
Start > All Programs > Entertainment > Sound Recorder
This is just the basic program to record sounds that is built into windows. You will need to go to volume control and edit the feed you are going to use to record from under File > Properties. This will work for a basic straight record from a source.
There are other full fledged editing and mixing programs out there that will work very well if you want to mix other sounds and control amplitude and stuff like that. I used adobe audition at work quite a bit to play around with some sounds and mix stuff together. I don't know what that costs though, and I am sure unless you are really into audio editing it probably isn't worth the dough.
There are free programs on the net though that you can download to do this stuff as well, like audacity which you can download from sourceforge.net, always a good place to look for open source and free software.
Here's a link to audacity:
http://audacity.sourceforge.net/