Well,
just a guess, normally you have several "IN" on your sound card. Normally Line In and Micro In. I think you are either in the wrong "IN" or more probably has not turned it on.
To record easy samples you can use the Sound Recorder included in Windows (i think you can find it under Accessory, sorry i have no English Windows). Just press the red button to record.
If you get no sound go under Control Panel to Sound and Multimedia open it. Under the Audio Tab you have Input open the Volume Control and select Micro.
Hope that helps.