http://camstudio.org/ – Cam Studio is a FREE screen recording device. It can actually be used to do program tutorials too where you record your own voice. 3d Buzz has been using something like this for a long time. I only recently started using it to capture Entropia Universe stuff. I might use it for other stuff at some point in time, maybe even doing some tutorials about Entropia Universe.
If you get serious in to using it, you will probably want to get Virtualdub – a Free movie editing software. Make sure to use compression settings if you do use it though since uncompressed video in Virtualdub is usually full of a lot of unnecessary bloat. http://www.virtualdub.org/
A lot of people use FRAPS to do this sort of stuff, but FRAPS is mainly aimed at gaming only, so is not that great for general video work, and also it’s not free (unless you like seeing a watermark)