Originally posted by LeroyHowever, the cheapest way to do it would be to record the audio output of your TV or DVD into the mic or line input of your computer. You could get the right cable for about $5 at Radio Shack.
The right cable is a mini-stereo to mini-stereo cable. EDIT: Leroy's response below is better; I had a brain-freeze.
If one has a Creative (What U Hear) or Realtek (Stereo Mix) sound card then one does not even need a cable. Couple a cable/no-cable setup with Audacity and you're set.
I've got an Ipaq 5550 and it can be a pain in the butt to get it going at first. Are you connecting to an access point or router that has security enabled? Make sure you have the latest firmware for your card so you can connect with WPA if needed.