How are you plugging into your soundcard? Straight from the effects box to the soundcard? Or are you going from an amp? From a mixer? Kind of hard to diagnose unless we know.
Here's some things to try though, should work in 90% of the cases:
1. Make sure you're plugging into the "line in" port and not the "mic in" port (most soundcards can provide power for unpowered mics through the "mic" port. You can shut it off, but the circuit can still introduce quite a bit of noise.)
2. Go to your soundcard's mixer and fiddle around with the levels while playing. But remember where everything was in case that wasn't it!
3. Depending on which kind of card you have, you may have a little applet that controls sound and recording far more than the plain vanilla Windows mixer. If so, there's likely a help file. Creative and E-MU both provide separate interfaces which can greatly influence sound far more than the standard windows mixer.
4. If you're going in straight from the stomp box (or an amp) to the soundcard, you really gotta turn the volume waaaaaaay down. Just because you can hear it OK through the speakers doesn't mean that that's how it's recorded (but it SURE SHOULD!) A lot of soundcards use different circuits altogether, and depending on your sequencer, you may or may not be able to hear the signal being recorded without some tweakage. (I suffered through this myself recently on another machine with an Audigy card...)
Hope this helps!