Music you listen to like in a tube

I record music from a website (such as http:_//_grooveshark.com/) and I saw the tutorial to record something but maybe I’m wrong. The fact is that I get a sound like in a tube
The test file is located here http://sdrv.ms/12lUdE6

See these links for how to set up your computer to record sounds that are playing through the speakers:
http://manual.audacityteam.org/o/man/tutorial_recording_audio_playing_on_the_computer.html
wiki.audacityteam.org/index.php?title=Mixer_Toolbar_Issues#cp