Using the various bits of advice above, I think I have it working with the following settings in Audacity:

Audio Host = MME
Recording Device = Microsoft Sound Mapper - Input
Recording Channels = 2(stereo)
Playback Device = Speaker (Realtek(R) Audio)

I also had to go into Hardward/Sound options in Control Panel and disable the laptops's internal microphone.

It certainly records what's streaming but I haven't checked the overall quality; I'll do that when I get home and feed the WAV file through a decent setup.

Many thanks
Harry