If you want to use your PC's internal audio input to jam on sofasession, you'll have to install ASIO4All from http://www.asio4all.com/.
Once you've downloaded and installed ASIO4All, restart your machine to complete the installation.
Now connect your instrument and you're ready to Jam. Start the sofasession software, enter a session and make sure your selected driver is set to ASIO4All.
Pro Tip: To get lowest possible latency, click Advanced Settings and set your buffer size to 5ms (220 samples @ 44.1kHz or 240 samples @ 48kHz) or lower. The lower the better!