Try Vixy Freecorder first. This free recording toolkit lets you download and screen video capture from most any site in decent quality.

For higher quality captures, get Replay Video Capture. This has the best recording quality of any commercial product, and depending upon your CPU speed, you can get up to 50 frames per second, saving as a high quality MPEG-2 or MPEG-4 file.

These programs are for Windows.