Even some freeware screen video capture programs can record video with sound.

If you don't have the stereo mix option and can't record because of that, please read the following thread:
Missing sound recording option "Stereo Mix" / "Record What you hear" / "Waveout mix"

You can also record from screen with Replay Video Capture and WM Capture. Both programs use a universal audio driver, so they don't need the "Stereo Mix" / "Record What you hear" / "Waveout mix" to record audio from your sound card.