one way is to click start > programmes > accessories > entertainment > sound recorder.
it's quite basic but will record and save it on your pc, although i think you have to have the volume right up.
a better way would be one of the dance ejay programmes which are cheap now and also you can put backing to your voice or singing.
just remembered there is a free programme called audacity which is excellent for what you want and everything else with audio. http://audacity.sourceforge.net/