In addition to what my fellow Adobe Community Expert Mark
offered, I'll toss in the following.
The ability to record System Audio may not work on all
computers. It doesn't work on my PC either. I've been told by a
TechSmith employee that it's because I have "sucky" sound hardware.
Although I thought the response was a bit on the harsh side and not
exactly what I wanted to hear, at least it was an explanation. My
audio works fine otherwise.
If you aren't able to use Mark's suggestion, you may still
capture audio using a simple patch cable you can obtain at a store
like Radio Shack. The cable is maybe eight inches long and simply
plugs from your headphone or speaker out directly back into the
microphone input. If you also need to blend in voice, you may also
obtain a mixing device. The mixing device plugs into the microphone
port and you plug the mike and speaker out into the mixing device.