If the socket is on the front of the machine, then it may not actually be connected to anything (strange but surprisingly common). If this is the case, look on the back of the computer and see if there is another set of sound card sockets that you could try.
If the socket is on the back of the machine then it should be OK.
I'm presuming that as there are also black and orange sockets that you are using sockets on the back of the machine (I've never seen black sockets on the front of a computer).
Right-click over the speaker icon in the System Tray (near the "Time/Date") and select "Recording Devices".
You should see something similar to this:
The "Line in" icon should be visible and not greyed out. (is that correct?)
Right click on the "Line in" icon and select "Properties".
In the Line-in properties, set it as the default recording device.
Look in the "Advanced tab".
Set the recording level reasonably high.
Switch off (deselect) any "Enhancements" (if present).
Set the recording quality format to "44100 Hz 16-bit CD Quality".
Click "OK" to everything to get back out from the settings.
(did you change anything?)
Restart Audacity.
Go to "Edit menu > Preferences > Devices".
What options are available for the "Recording" and "Playback" devices?