Welcome to the Magix Sound Forge user community @LSDionysus.
Some PCs allow "recording what you hear",,, some do not,. All my Dell PCs allowed it, desktops and laptops going back to Win 95, OTOH, I had two Toshiba Satellites that could not without a third-party utility... As I recall "Record what you hear" was a term used on the Sound Blaster cards. On most RealTek cards, it is refereed to as "Stereo mix" so if that is what you have, select 'Stereo mix" instead of the mic (or whatever) as the record source in the PC's sound manager settings... Then... go to SF's Audio Device type settings and select "Stereo mix" as the "Audio Device type in "Options> Preferences> Audio> 'Record' tab". The AS (Audio Studio) Device type setting menu may differ some from SF Pro. The speaker/headphone volume will control the record level.
The above does not apply to PC's with an external audio interface,