Go to the address: audacity.sourceforge.net, select your operating system and download and install Audacity to your computer. This is a free, multitrack recording environment capable of handling and editing a multitude of audio files.
Open Audacity and go to File, then Preferences. From the drop-down menu of Recording Devices, select your computer's sound card. Press "OK."
Open Windows Media Player and load the file you want to record. Press "Record" in Audacity and "Play" in Windows Media Player. Allow the file to complete playing and press "Stop" in both applications.
Go to File and Export in Audacity, name the track you just recorded and select the file format you want to save it as. You can choose from WAV, MP3, OGG, AIFF and WMA, among others. Repeat Steps 3 and 4 for multiple files.