There are quite a few programs that can do it. I don't know any free ones. A cheap one is Snagit from Techsmith: www.techsmith.com . They also have Camtasia, more expensive, but with a lot more capabilities. Another one is Turbodemo, but that is also not cheap: www.turbodemo.com
Screen video capture software list. http://p084.ezboard.com/fstreemeboxvcrfrm7.showMessage?topicID=9.topic