RECOMMEND: VideoLan "VLC": a free and open-source media player
http://www.videolan.org/vlc/ Cnet review YouTube Tutorial
(with this program, you save video & audio of any video you watch on your PC)

Directions to capture the audio & video of anything on your screen:

Download and Launch "VLC.exe"

At top left of Window: Media > Stream > click tab "Capture Device"

At the top area labeled "Capture Mode", click the drop-down menu, and choose "Desktop"

Choose capture frame rate (you will be limited by the hardware speed of your PC). I use 15 f/s (frames/second)

At the bottom, click within the box labeled "Stream" at the bottom of the popup.

In the popup labeled "source" "Stream output", click "Next"

In the popup "Destinations", click "Add" > "Browse". Then type desired file name

Click little box "Activate Transcoding"

Profile: choose desired file format - I have good luck choosing "video-H.264 + MP3 (MP4)"

click "Next"

click "Stream"

(The PC immediately begins to save your screen+ audio to your selected file)

When you have captured what you desired, then click the little black square at the lower left corner of the VLC Media Player window.