hldj.org

So my sound card is stock. I just have a stock Dell. At hlss forums they said they use the same, that I don't need a kick ass PC.

This is what my Recording Control looks like, I think there's a way to add other stuff in it too, please refresh my memory:

This doesn't have much to do with HLDJ. However:
Options->Properties->Recording, check off the sources you want.

It does. I convert perfectly step by step by the manual here, and it still doesn't play anything.

That's the problem you should be posting; changing recording sources isn't likely to help.
Have you tried the sample wav from the sticky?

Got it right. I just had to pick it out in console.

Now a question about Audacity..I follow the steps, but everytime I seem to export the .wav it gives me a few seconds extra. So it ends up even bigger than the mp3 >.<

wav's are typically larger than mp3 files. I was hoping that the newest version of Audacity had the extra silence bug fixed; here's a tutorial on how to get rid of it:
http://www.hldj.org/forums/viewtopic.php?f=6&t=15