Not sure if I got the right one. I tried to download Cool Edit and somewhere in the process it gave me "Audio Editor Pro. If this is the right one then go to "Player" (not "File") at the top of the screen when the program is running then click on "Playback/Recording Device" and make your selection. Be sure that whatever device you are using is actually switched on or it won't recognize it.
Once you have set whichever mic. or line as the default you can go in to "Advanced" to tinker with your settings.