You can use a program called FRAPS.
It will record everything on the screen and dump it to an uncompressed AVI file.
You might want to reformat it ti DivX, or, if you re not willing to pay for the codec, you can use XviD....
(If you find any mistake in my English, please let me know via a PM)
(Really, I speak terrible English, so please, tell me if I make mistakes. I'd like to improve it a bit )