Many PC audio systems do not have the System Mixer and not just Dell, other vendors's PC's do not have them either.  I have an Acer laptop with Vista and there is NO system mixer.   I installed a HP Desktop with Vista 64 bit about a year ago for a client and it DID NOT have the System Mixer either.   (SoundBlaster calls it "what you hear" and some Retail SoundBlaster sound cards, including some of the current model Xfi's do not have this).

To check to see if it's just disabled (some systems do have it but I can't tell you which do and which do not - I haven't kept up with that), go to the Control Panel and the Sound Panel and click on the Recording Tab.  RIGHT click in an empty area where the devices are listed and click on both Show Disabled and Disconnected Devices and if your system has the System Mixer you MAY be able to enable it.  

I have an HT Omega "Striker 7.1" PCI sound card installed in my Retail Intel Motherboard system with Windows 7 desktop and it DOES have the System Mixer.  I wanted the System Mixer function and because of the uncertanty of the SoundBlaster Xfi cards I went with the Striker 7.1 sound card to replace the Integrated Audio in my Retail Intel motherboard (home built) PC. 

Most that have purchased a Desktop and "must have" the System Mixer are installing a PCI sound card that does have the function.

In the recording tab, after I selected "show disabled and disconnected devices" there are only 3 showed up: Microphone FP (Default Device), Line In (Not plugged in) and Digital Audio (S/PDIF). My sound card is : Sound blaster X-Fi Xtreme Audio. When I click on the speaker icon on the bottom right of the screen, it shows "mixer" but I can't still record the sound from my window media player. It doesn't make sense though, there is audio capture gadget, yet I am unable to record. It must be hidden somewhere and I need to figure out.

Answer removed by me ... :emotion-15:

Oh, you have the SoundBlaster Xfi sound card NOT the Integrated Audio.  SoundBlaster calls it "What You Hear" and not the "System Mixer" and threw me off. 

Your SoundBlaster card can use the Retail SoundBlaster drivers and I would suggest going to the Creative (SoundBlaster) site and downloading the Windows 7 drivers for your sound card.  There is also a Windows 7 "Beta" driver that those on this forum and other forums have reported fixes a noise problem with Xfi cards on PC's with more than 3GB of RAM. 

In reference to your erroneous statement about "Dell" disabling the What You Hear, here is something I got from SoundBlaster Tech Support when I was researching a Vista problem for a client about this - and again this has nothing to do with Dell, it is the Sound Card Manufacturer that is determining what products do or do not support the What You Hear. 

"For your information, The What U Hear recording option is supported in
Windows Vista for Sound Blaster X-Fi series (excluding Extreme Audio and
Titanium series) and Sound Blaster Audigy series (excluding Sound
Blaster Audigy LE, SE, and Audigy Value)."

I have downloaded anything I could for my sound card from the website, yet I can't still record =\

Have you tried uninstalling the existing drivers, restarting the PC and then installing the Win 7 Beta drivers?  If not, try that.  It's strictly a SoundBlaster driver issue, it's not anything in the Operating System.