I'll troubleshoot Goldwave anyway. First of all, whatever program you were using before, does that still work? If not, then it's probably a problem with a volume control. If it does work, then try a couple of things in Goldwave:
Can you play files that you have previously recorded in another program using Goldwave (just open them and press play or Spacebar)? If you can, then the problem is probably that it's not recording or not recording loud enough. After you record sound, does a wave form show up in the main window?
Press F11 to open the Control properties, then go to the Volume tab. Make sure the "microphone" box is checked (assuming that's the input you're using) and that it's not turned to zero. Then create a new wave file about 5 seconds long ("5.0"). Record something, anything, for the length of time. Then, go to the effects menu->Volume->Maximize and press OK. This should make anything it did record become loud enough for you to hear if it wasn't before. Then try playing it again.
If you can't hear files you recorded using a different program in Goldwave, can you hear them using other programs (like the one you used to record)?