I know there are progrms capable of real-time capturing of the video from screen. But as far as I remember, they slow down system A LOT, which can cause problems for your gameplay.
Another option is easier, if you have the necessary hardware:
- if your videocard is equipped with TV-Out (many cards do have them nowadays) connect a recording device (VCR, or digital camcorder with video-in (IMO, best variant in terms of quality));
- turn on the Clone mode in video driver settings (Clone mode means showing the same picture on the computer monitor and on external device);
- record whatever you want on the recording device;
- capture video on your computer. If you used a DV cam it can easily be done via FireWire interface. With an analog VCR it's a different story - you can use a TV-tuner card.
Haven't tried the method, but it should work.