If the video you captured doesn't have audio, firstly check if all your cables are plugged in correctly. Another reason may be that the recording input device has not been set up properly.
To check the recording device:
1. Go to Control Panel: Sounds and Multimedia - Sound and Multimedia Properties - Audio tab.
2. In the Sound Recording section, click Volume.
3. In the Recording Control dialog box, see if volume slider of the appropriate device has been selected and drag the volume slider of the appropriate device (usually Line-in) to increase the recording volume.
Note: If you select Show volume control on the taskbar in the Sounds tab, you can double-click the 'speaker' icon on the taskbar to adjust the volume.
If you still have problems after this, check if your audio device driver has been installed properly.
To check your audio device driver go to Control Panel: System - System Properties - Device Manager - Sound, video and game controllers. If there is a yellow question mark next to any of the drivers, double click on it, and Uninstall it. Reboot your computer to allow it to find your audio device again. It will ask you if you want to install the driver for your device. Say yes, and supply it with the driver disc (CD-ROM or floppy) to do a fresh install.