Hi Vedran:
You will need to sample just a bit above twice the maximum frequency in your signal. Otherwise you need an antialiasing filter (5th to 7th or more order) with a cut off frequency at half the sampling frequency. You could have, for example, a filter with cut off at 10 kHz, sample at 20 kHz and then use a digital filter (software) to set other bandwidths if you are displaying the data as frequency spectrums (you can do an FFT in Excel, it is one of the "analysis tools")
Regards
Eduardo Murphy