Software :: How To Record Internet Radio

I've been testing out many recording applications, trying to record Internet radio, but when I open up the recording files, I can't hear anything.

What am I doing wrong? I've tried these applications so far:

-- Amadeus
-- Audacity
-- Audio Hijack Pro
-- Audiocorder
-- Final Vinyl
-- Recorderxhead

All these applications seem to be working, recording the sound from Internet radio, but I can't hear anything when I play the files. There must be a setting that I'm missing .