Turn down the recording volume in the Windows volume mixer and try to record again. You can always record it quieter than you like, and then use the Normalize option under the Volume menu.
I can't say that I know much of anything about Shockwave files, but I don't know if they even use MP3 for their encoding method. It's not WAV, that's almost for sure, as Shockwave files are often heavily compressed, or at least they sound that way. So there's really no "audio stream" there to simply extract, at least not to any common format.
I figure that recording it should work, once you get the volume tweaked, because it'll be all digitial - no back and forth analog-digital conversions to deal with.