You may want to look into a program like Camtasia Studio (http://www.techsmith.com/camtasia.asp). I have used this program to create videos of PowerPoint presentations, and it works very well. It may or may not work for your application.
This one is not free, but is excellent. I used it on a project where I had to capture the screen so there was a movie of the test run, which would then be distributed to my customer's customers. Allows a lot of post-production and annotations, as well as many output formats.