This was the case on my Asus Eee PC (a 1000HE), but I got around the issue by downloading and installing the older Windows XP/Vista drivers for my audio chipset.

In other instances, however, it’s because the newest Windows drivers for your chipset don’t support this feature. Most likely, this is because they’re outdated. In some cases, your audio chipset drivers aren’t helping your cause.

Right-click on “Stereo Mix” and click “Enable” to be able to use it.