Make sure you have a microphone or a headset with a microphone connected to your computer.
Open the Windows Sound Recorder located in Program Files/Accessories under Entertainment or MultiMedia (depending on version of Windows). The image below shows the Sound Recorder being selected from the Start menu on Windows XP.
Selecting Sound Recorder from the Start Menu.
The Windows Sound Recorder.
To begin recording, click the Record button and speak into the microphone. You should see the waveform displayed by the green line as your voice is recorded. If you do not see the green waveform change then your voice is not being recorded.
Green waveform showing sounds are being recorded (XP).
If the green waveform does not change, check the following:
Make sure the microphone is plugged into the correct port.
Make sure the in-line mute control is not turned on (some models).
Adjust the microphone volume in the control panel. See article here.
Click the Stop button when you are done recording.
Click the Play button to play back the recording. You should hear your voice played back. If you do not, make sure the speaker volume is not muted and is adjusted correctly.
Also see the Microsoft Article here on the Sound Recorder.