I plugged the guitar straight into the line in on the soundcard.
Plugged in like that I could hear sound when I played the guitar - without having guitar rig open.
Also had to tell GR what to use for sound - it's under File -> Audio and MIDI Settings
For the Driver I chose ASIO (my card supoprted it - you might have only something like WASAPI). Then for the device I chose my soundcard.
From there, GR worked fine.
With WASAPI as the driver you may have a problem with sound being delayed - meaning you play a string and only hear it a second or few later. If that is the case you might want to install ASIO4ALL from
http://www.asio4all.com/ which should help with the delay thing.