This has got little todo with WLM itself, but all with how you setup your sound stream.
If you configure your sound settings in Windows in such a way that you broadcast both the mic input and the sound being played on the PC (in essence everything you hear), and in WLM you select the proper broadcasting device, then this might be very possible.
For XP, it involves changing the sound recording device and the selected input devices.
See
CookieRevised's reply to Recording Issuse
But as said it mostly involves configuring your sound settings and input devices in the Windows sound control panel itself. Also, mind you that not all sound cards support such setups.
related threads with lots of info to get you started:
Transmitting "what u hear" in Vista
[Request] Listening music together without the need of a mic.
stereo mix voiceclip problem
Microphone sending windows sounds instead of my voice 
Recording
MSN audio coversation
And there are many more though....
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