While Ultrawave Guitar Multi Fx is running press the mixer button, this will open the windows mixer, which will look something like the picture below. Set the line in and microphone volumes to zero but make sure that the mute on both is off. That will stop windows routing the sound from the input to the speakers directly, which would cause the effects to sound wrong. Sound from the guitar shouldn't be heard on the speakers while Ultrawave isn't running.

Now go to the menu and choose "options", and then "properties", then click on the radio button marked "recording". Check the line in and microphone at the bottom to make sure those sliders are visible in the recording control settings. Press ok. Now tick the select box underneath the microphone or line in slider and set it to a comfortable level. If your sound device has it's own mixer turn either the microphone or line in up, depending on which socket you have plugged your guitar into. If there is a "link to control panel" option in your sound card's mixer (like the Creative mixer) then turn it off before making any mixer setting changes.