Unable to record internet streaming audio

I’ve got Windows 7, & I’ve just installed Audacity 2.0.2, from the .exe installer, and I’m trying to record streaming audio from the internet, but it doesn’t seem to recognise the audio.
I have been through your help pages, and the options within Audacity.
My only choices for Input Device are “Primary Sound Capture Driver” (which I’ve selected) and “Microphone”.
I have similarly recorded from the internet using Freecorder, but that was a bit unreliable, which is why I’m trying Audacity, but it shows that my computer sound card etc should be ok to do so.
Any suggestions ?

Is there a “Stereo Mix” option available in the Windows Sound Control Panel?

No there isn’t. The Recording tab of the Manage Audio Devices in the control panel only shows Microphone or Line In. N.B. the check box options are ticked to show all disabled and disconnected devices.

That rules out the possibility of recording directly from what is playing on your computer with your current equipment.
Have you tried “Sound Leech” http://www.milosoftware.com/en/index.php?body=soundleech.php
It’s a bit quirky, but I find it works very well, and it is currently free.