I have this card and the first time I used it I encountered the same issue. Solution, use the little gray cable like you are connected to the mobo but the key is the setting in the Winfast software. If you are using the CD IN jack on the mobo, change it to that in Winfast. If you have it in the AUX...
More than likely it's one of those two, Line In is on the I/O backplane. I change both drop down boxes to be the same, master stream to Video (don't ask me why though), Record Volume use the default of 30 so you don't get distortion.