The easiest way would be to use Fraps. Just install it and run it.
Then, play back using "viewdemo [demoname]", that way you can skip around to the cool parts.
Press F9 or whatever you set for the hotkey to begin recording.
It dumps the movie to an unencoded AVI file (meaning it's über-huge), then you can import it into a video editor like Windows Movie Maker or Adobe Premiere and compress it.