Please check whether you are using "Frame to frame" mode or "Interactive" mode.
If it is "Frame to frame" mode:
-- Because the movie in captured by single frame individually in this mode, it is impossible to get the sound at the same time of capture. But you can import an exist sound to your movie in conversion parameter settings.
If it is "Interactive" mode:
-- To record sound from current swf file, please make sure "Stereo Mix" is set enabled and working. You can double-click "Volume" icon ("Sound" icon in Windows Vista) on Windows Taskbar to open the Volume/Recording Control panel (Sound panel in Windows Vista). You can also just click "Open Sound Panel" on the prompt to open the panel. And then enable "Stereo Mix" and choose "Set default" from command menu.
Please note that, in certain cases the configurations of recording device are different from Stereo Mix, as some sound cards offer different settings. Then you have to specify the right settings by yourself manually everytime before recording.
Hope that will be helpful to you. If we can be further help, please let us know.
Have a nice day.