There may be the following reasons:
1) Check that in recording Audio setting selected the same mixer and line as you connected to the tuner audio output.
2) If you selected the correct recording line but the sound is still absent, probably the sound card driver doesn't allow the correct support of line swithing through WDM. Unfortunately you may encounter such driver, for example driver for Creative SB PCI 128 for Windows 2000(XP), installed from WHQL by Windows itself work correctly. But the driver from Creative Labs web-site for Win2000(XP), doesn't allow to switch source line even through system mixer.
3) Some players, for example, LightAlloy, sometimes incorrectly plays recorded file. Try to play file by Windows MediaPlayer.
4) If you didn't connect audio-cable ensure that in selected recording preset you set the checkbox "Record audio stream via PCI".