First off - do NOT use a y-cable to combine signals. To quote Dennis Bohn:
Here is the rule: Outputs are low
impedance and must only be connected
to high impedance inputs -- never,
never tie two outputs directly
together -- never. If you do, then
each output tries to drive the very
low impedance of the other, forcing
both outputs into current-limit and
possible damage. As a minimum, severe
signal loss results.
Now that that's said and done, what you probably ordered was a summing cable. You basically tie in some resistors and verything works the way it was supposed to. Check the above link for more details and see if this is what you got. (As a side note, these are way easy to build on your own - about $12 worth of materials and a a little soldering skillz).
As for me, I wouldn't want to have both signals firing at me at the same time. There are plenty of nice, cheap passive mixers that should do the job and let you turn down each source if you need to.
EDIT: looked at your previous post and that last one is probably what you want - no battery powere, it's fully passive. Can't attest to the quality - usually anything fully passive will work just fine, but not be the best thing you've ever heard. You could also make a cable that sums each stereo channel to mono and that way you have one recorder in your left ear, one in the right, and can slip your headphones off one ear to monitor just one.