I changed to a relevant title. Please don’t assume that any one helper is always assigned to you.
To what are you connecting the external speaker? Or is the external speaker part of the CD player?
Can you record the CD player in Audacity? To do so, you would have to select Line-In in Audacity’s Device Toolbar. If Line-In can’t be seen in Device Toolbar even after restarting Audacity, you would have to go into Windows Sound (the Recording tab) to enable the Line-In.
When you connect from line-out of the CD player to line-in of the computer, you lose a little quality. This is because the CD is digital, but the audio going down the cable connecting line-out and line-in has to be converted to analogue, and then back to digital when it gets to the line-in.