Record Audio Played On My PC?

I've tried for years to figure this out, and I read tutorials and all that yet it all NEVER works for me. I want to be able to record the sound playing out of my computer and then save it as some kind of audio file and do what I wish with it. Audacity sounded like what I am supposed to use but I can't figure out how to make it work if it would even work for me. I am using digital coaxial out for my speakers but I thought this shouldn't affect the recording. I have my speakers hooked up with direct analog 6 channel connections as well. So I have a digital S/PDIF interface I could record from but it does nothing really - it only works when I play DTS or Dolby Digital movies.