Several things:
That FOURTEEN DOLLAR audio cable, is a huge rip-off. My old PC-to-TV audio set-up, graciously constructed by my electrician dad, just soldered the single wires of the 3,5mm PC cable (black one) to the single wires of two RCA cables (uh, the red and white ones). I don't really remember what the insides of the RCA cable were, but Wikipedia doesn't mention anything about there being shielding or nuthin', apparently just wire with plastic-on-top.
http://en.wikipedia.org/wiki/Rca_cableSo: Any old 3,5mm jack plus any old two RCA jacks, some scissors, and you should be set. You wouldn't even need to solder, if your cable-twisting skills are leet enough.
Only drawbacks:
You could switch the left and right speakers, although I strongly doubt the Keen games even *have* stereo. *AND* you can switch them back in editing afterwards.
Also: Playing with electricity when you don't know what you're doing, by following advice from the internet, by somebody else who don't know what they're doing, couldn't *possibly* go wrong. However, any guy with a home-built hi-fi system knows how to do it. So give one of them an old 3,5mm cable, two RCA cables, a pair of scissors, and about a buck for his troubles.
Or, you know, eBay or something.
Practically the first hit, does exactly the same thing, for a buck:
http://cgi.ebay.com/3-5mm-Aux-Auxiliary-Cable-Cord-To-RCA-MP3-3-5-mm-9650_W0QQitemZ180325841413QQihZ008QQcategoryZ86541QQssPageNameZWDVWQQrdZ1QQcmdZViewItemI haven't been able to find any other good VGA-to-component/S-video converters. *Except* if you play on a laptop. Laptops usually allow TV-out via VGA, so you can get an endless variety of cables for that.
That little box there, though, looks decent for the purpose.
I tried to see if I could find any DVR, HDD or DVD-recorders that had VGA input, but didn't find any that didn't look badly translated and a bit confused about the difference between input and output.
As for PC speaker...
Here's how:
http://www.oldskool.org/guides/speakerrecordingLike they suggest, use a microphone. If you're not *too* worried about audio quality loss (snicker).
But aside from that, ask a HiFi-guy you know if they could MacGyver you up a motherboard-to-RCA cable.
The signal goes straight to the speaker, using motherboard connector dealies. So it's just analogue sound that's no (technical) problem to capture.
I also know that if you ground the cables by accident, your PC catches fire. Don't ask why I know that.
Also, don't ask how many other times my PC has caught fire.