I don't use Audacity, but does any of the info on
***this page*** help?
Also, there's some info at the bottom of
***this page*** that says "what u hear" may be called something else, depending on your sound card drivers.
There is often confusion over what input source to choose for recording sounds the computer is playing. The required source can go by various names such as: "Stereo Mix", "Wave Out", "Sum", "What U Hear" or "Loopback". The exact name (and even if you have such a source option) depends on the drivers of your sound device. Try to enable and select a suitable option in the Windows Control Panel as described above, then if necessary update your sound device drivers.