You need a sound recording program, I use GoldWave (
http://www.goldwave.com).
Next you need to change your recording settings within your Volume Control Panel. Open up your Volume Control Panel, click on "Options" and then click on "Properties". There should be two radio buttons, one titled "Playback" and the other "Recording". You want you select the "Recording" radio button and make sure that everything in the list below is checked, click "Ok".
Now your Volume Control Panel should be different and show recording options. While viewing your recording options, you are only able to check one option at a time so in this case check the "What U Hear" option, and make sure the slider is set all the way up. You can exit or minimize the Volume Control Panel, and then open up your recording program. Simply play the movie and find the part you would like to record. Once you find the part you wish to record, pause the movie right before it starts and go to your recording program and hit record (You might have to create a new audio file first, to do so, just go to "File" and click "New", then set up the options the way you like for now).
Here are some things you can read through:
http://articles.thewavelength.net/227/
http://articles.thewavelength.net/228/
The first link tells you what the parameters you need to set for the sound file in order for it to work in-game.