From the Windows Media home page, you can download the Windows Media Encoder 9 Series. This nice little encoder application isn't only limited to post-processing (very nice indeed in this area), but can also do live-broadcasting as well as screen recording.

Narrated screen recordings are sometimes simply more useful than written step-by-step instructions (even if "littered" with screenshots). That's why I recorded a quick (non-scripted, you will be able to tell) how to set up Windows Media Encoder for screen recording.

HowToScreenRecording.wmv (1.88 MB)