I remember when I was a kid I used to make movies of myself playing video games–like a movie recording of the actual output from the video game consol itself.
There are some things available but they tend to slow your computer down considerably.
You can check this search at download.com to see if one will work for you. There are also tons of others that are mainly used to spy on other people’s activities but you could probably force to work for what you want if you insist.
What you want is typically called “screen recording software”, that produces a movie file of screen motions. I don’t know any free ones right off, but a lot of the same companies that have screen grabbers (that grab still image screenshots) also have recording software.
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