Record audio from other applications?

I’m using a program called GuitarFX with my guitar plugged in thru the mic input. It creates this effects perfectly but the problem is when I try to record. When using Audacity and settings to record from microphone, it just records a clear tone guitar (with no effects). I’ve tried a bunch of stuff now and it seems Audacity is basically ignoring the software and the effects it’s adding.

Is there a way for Audacity to record sound made by other applications?

Thanks

For most applications, you can set Audacity to record “What U Hear” / “Stereo Mix” (providing that this is supported by your sound card)
http://audacityteam.org/wiki/index.php?title=Recording_audio_playing_on_the_computer