you can loop the audio out from your soundcard into the mic-in on the same sound card with a simple patch cable from radio-shack. (i'd suggest also going for the splitting 'Y', so your speakers still have sound too)
then, when you get to a point you want to remember, hit 'mic record' with your soundcard, and voalla! convert the file to whatever type you want with soundforge or equilivant.
that's a $5 solution. (and what i've used in the past)
-RuskiFace the Pirate