I'll second the FRAPS suggestion. I'm assuming you've got a fairly robust system as recording in SH4 can
seriously affect the framerate.
If you want to just try FRAPS there is a 'free' trial version (it leaves the company logo/info at the top of your video and cuts off after so many seconds of recording each time).
Procedure for "recording";
1. Start FRAPS and minimize in background
2. Start/play SH4
3. Hit the FRAPS hotkey when you want to record. Framerate indicator will turn red when recording.
4. Use Windows Movie Maker to edit your clip and add certain effects although the software Virtual Dub has a lot more options for editing.
If your system can handle it I'd recommend using both the replay function and FRAPS that way you can always go back to the replay and refilm if you are not happy with something.
As an example, this took me all of 2 minutes;
http://smg.photobucket.com/albums/v6...nt=MyMovie.mp4
Good luck.