My primary tools of choice for screen captures are Camtasia and Captivate. However, sometimes clients don't want to pay for these or you just need something quick and dirty. Windows Media Encoder (WME) provides a great, free alternative. You won't be editing or producing SWF files as robustly as the high-end tools but you'll get the capture. Steps:
1. Download and install Windows Media Encoder x86/x64.
2. Start up WME and choose "Capture screen"
3. Indicate what you'd like to capture: window, region, or screen.
4. Choose the output file: Windows Media is the only option (wmv, wma)
5. Select the quality: low, medium, or high
6. Click "Start Encoding" to begin the screen capture.
7. When complete, switch back to the WME icon in your toolbar and click "Stop"