If you want to record xbox 360 videos on your PC, you need a capture card.

There are also other ways to record your gameplays. You can do it with a video camera, DVD Recorder, VHS recorder, PVR,... connected to your gaming console (or to the output of your TV).

See also:
How to capture/record video from HDMI (record game play from XBox 360, PS3 to PC)

USB 2.0 HD video recorders for recording HD video of gameplays from xbox 360, PS3,...
USB 2.0 SD capture cards for recording SD video of gameplays from xbox 360, PS3,...
PCI-E capture cards for recording HD video of gameplays from xbox360, PS3,...
USB 3.0 HD capture cards for recording HD video of gameplays from xbox 360, PS3,...