You can use Audacity to record songs from other media, such as vinyl records, cassette tapes, and minidiscs. However this requires a bit of technical knowledge and some trial and error if you've never done it before. You will also need some special equipment, such as:
A tape deck, minidisc player, or stereo system that has a "line out" connector on the back of it.
A stereo cable that can connect to the above equipment and then to the "line in" connector on your computer. If you don't have one that fits properly, you can purchase one at almost any electronic store. Just take note of the connector type that you need by looking at your stereo equipment documentation (some types include: mini plugs, RCA, 3.5 mm plug, and so on). Alternatively, you can take the equipment with you to the store and ask for help! Avoid using adapters for connector types, as this is likely to add more noise to your recordings.
For vinyl records, you need a special turntable...