How to get audacity to record internet sounds?

[joe at actionline.com]

How can I get audacity to record sound that I play on the internet?

I just installed audacity and tried to record a sample sound on a website
but got the following error message"

"Error while opening sound device. Please check
the input device settings and the project sample rate."

Please see the screen capture at the following link:

http://www.upquick.com/temp/audacity.jpg

As you can see, the Audacity help page says: "In the drop-down menu on
Audacity's mixer toolbar, choose "Wave-Out" or "Stereo Mix" as the input
source."

I'm not certain which drop-down menu they are referring to, but I assume
that it must be the one shown in the screen capture that lists: "Vol,
Line, Mic, CD, Line1, Phone in, Phone out, and Video."  I could not find
any other drop down list or either "Wave-Out" or "Stereo Mix" or anything
like those terms on the Audacity interface as shown.

So what do I need to do to get Audacity to record sounds that I can play
on Internet websites?