The advantage with this method is that you do not need any cable connection to measure delay.
Go to Measurement->Settings… and click the button. In the dialog select a Loop-back input line that internally loops the output sound card signal to the input. For the sound card in the example, this is named Wave Out Mix as shown below.
In addition, WinMLS must control the Windows mixer and you must set the synch. input and output levels to get a high enough synchronization signal input.