Hello zman,
Assuming you can play existing audio files correctly, the problem probably lies with the selection of the sound source for the live stream. Is the level bar meter shown to the right of Broadwave Live 1 moving?
If it is, you just need to select the URL you get on the info page when you click on Connect. You may need to change the file extension from asx to mp3.
If it's not, then you need to select the sound sounce to be the "stereo mix" from your soundcard, or the line-in connector, depending on where the sound is coming from.
Have a look at the information in this post: http://nch.invisionzone.com/index.php?showtopic=13101
Let us know how you get on!