Use either FRAPS or Gamecam. GC is free, as opposed to FRAPS. However, FRAPS does have a slightly higher quality, although it tends to make a system lag quite a bit. So if you want high quality movies and have a beasty computer, go with FRAPS. Otherwise, Gamecam.
Then use something like Adobe Premiere or Windows Movie Maker to compress the file and polish it up, if you want to.
http://www.fraps.com/
http://www.planetgamecam.com/