-- INTRODUCTION --
I'm going to describe software methods of creating a multiple sound track overdubbing session. That is, you record one track and then play it and add a second track against it. Drums, guitar, voice. Repeat as needed.
This process can be challenging because unlike the hardware solutions, special software drivers and packages must be prepared and they're different for Linux, Mac, and Windows. They can be different for each computer, and they're never perfect.
-- GROWNUPS --
It's very difficult to control the sound pathways in a sound card, particularly since most sound card makers don't try. Most people are pleased with straight recording and playback on their computer and a vast majority don't care about recording at all. Play an MP3, iTunes and YouTube and they're happy.
Almost all Digital Audio Workstations (DAWs) have purpose-built hardware. Even ProTools until recently only came with a hardware Breakout System that they could control instead of a sound card.
There is a way to force consumer grade sound cards to work by carefully minimizing sound errors and latency/delays. High End Audio programs like Adobe Audition and the newer Avid ProTools use special software drivers to make the computer take the shortest possible pathway with the least latency for each task. It's never perfect, but it's usually good enough for jazz.
-- AUDACITY --
Several posters on the Audacity Help Forum noticed that when they stopped using an Expensive Audio Program and started using Audacity, the sound -- even on the same computer -- was very different and sometimes so badly off rhythm, echoing or damaged that they couldn't do music production any more.
ASIO software is one way to minimize latency, echoes and delays.
Audacity can not be delivered with ASIO latency support because Audacity is freely licensed and ASIO is not. You can make a new Audacity with ASIO support built-in, but it requires you to compile Audacity from the source code including ASIO libraries.
Every time a new Audacity version comes out, you'll need to do it again.
You are warned that if you do manage to make it through compiling the program, your new Audacity is a Personal Copy and may not be distributed or made available to anybody else or posted anywhere public, ever.