You need to take a picture of the whole back side of your computer. Methinks you are using the blue connector of the videocard for the audio, and that's not what it's for. Look where your speakers are plugged into. There should be (at least one more) similar jack somewhere next to it. THAT'S your audio in.
As to the video capture, what codec did you use? (I guess I should read through this whole thread.

"Overlay would show a black screen at a higher resolution and Preview shows a still frame in either instance."
IIRC (It's been awhile since I captured video), I was unable to preview audio while I was capturing, but it would capture nonetheless. Don't worry too much about the preview (if you can get audio to work, you can use that to gauge.) Go ahead and start capturing the video prior to the event that you want, and let the capture run past the part you want to stop. You can always edit out the extra stuff in Vegas later.