1) Make sure Volume Controls indicate your input that is enabled is either Stereo Mix or WAV (this refers to the sound coming from the sound card, not the type of file played)- it depends on your sound card - certainly not CD input. For cassette or vinyl transfering, you may be using line-in. The settings here differ a lot from one sound card to another, you'll have to experiment a bit.
The Volume slider may have to be only around 3/4 of the way up.
2) Start dMC Auxiliary Input and make your settings for the output file that will capture the audio of the input file - I prefer to capture to wav first and convert later. Explore all these settings and use your intuition, that's the best I can say.
3) Start playing the input file in the player that supports it and hit the Stop button (do not close this player)
4) Go back to dMC Auxiliary Input and hit the record button.
5) Go back to the player and hit the Play button - if you look at the UV Meter in the dMC Recording window you should see it active and moving.
It should not get into the red zone - if it does, reduce the Volume in Recording Input controls (see step 1). You can test this too using the Test recording levels before actually recording.
6) When the song has finished playing, hit the Record button in dMC Auxiliary Input once again to stop recording. After a few seconds the wav file has been created, with the name and in the folder specified previously in the dMC settings.
7) Use dMC in the regular way to convert the wav file to mp3 or any other format you wish, unless you'd defined your output file other than wav (e.g. mp3) in the beginning.