You've probably looked into this already, but as far as I know you need to use a video capture program such as Fraps, Camtasia or similar (I haven't tried myself so I don't know which one works the best. You should definitely at the very least try a demo before getting the full versions. Especially Fraps has compatibility problems with certain types of games). After that you need to encode it to a proper format & size. I use meGUI (guide) and Avisynth scripts (guide) for my own videos. If you don't like the idea of fooling around with those for a few hours before getting results you can also use Speed Demos Archive's Anri-chan or some other program that does the work for you.