You need a Video Capture software, and also a Video Editing/Making software if you don't want that your video is just a single part.
For the Video Capture software, i recommend you Fraps.
For the Video Editing software, most are paying ones (and it doesn't cost 20€ ^^"), i would recommend you Sony Vegas Pro and also Adobe After Effects for special effects, but you'll need to pay. In free ones, you have Windows Movie Maker and some others i dunno.