There are free programs like Camstudio or programs you can buy that will generally give you better results and more options as far as final output. Camtasia Studio is one that will output many formats but it's realtively expensive.Techsmith, the company that makes Camtasia also make a program called Snag-It that can capture short videos.
Instant Demo is another one but I believe that will output only Flash and avi.
That should give you a start. 
Joe