First of all, you should download Audacity from the official site.
http
/audacity.sourceforge.net/
The SonicDownloads site is promoting adware. (Read the disclaimer at the bottom of the SonicDownloads page.)
Uninstall any crap from that site.
Once you have installed Audacity from the official site, go to your Windows sound options in the Control Panel and make sure "Stereo Mix" is enabled in the "Recording" tab. If not then right click in the window and check the Show Disabled and Disconnected boxes. Right click the Stereo Mix option and enable it.
Start Audacity and type Ctrl P. In the "Devices" window under the "Recording" section select the "Stereo Mix" option in the "Device" dropdown menu. Hopefully that will solve your issues.