You mean to create something like this: click here ?
If so click here [All the bells, etc]
This will record the screen [Output is AVI only] but it's main use is for print screens, but cheaper click here
Captivate is an awesome bit of kit, it can detect the text in dialog boxes etc, powerful stuff, but a bit of a learning curve and it's expensive click here
There is a free one, but i cannot remember the link.