Google (bij mij Yahoo) is uw vriend:
http://forums.steampowered.com/forums/showthread.php?threadid=81828
Very simple but very time consuming.
There are several ways to do it. You can install Fraps, which records video and sound from any game, then record while the demo plays back. This makes an avi file but it's HUGE. You take the HUGE avi and compress it with another program, like adobe premier, to a smaller file size.
The other way to do it is to start your demo and while it's playing back you can type "startmovie moviename 30". This will extract thousands of .bmp's to your directory. You then take these .bmp's and load them into a movie program, like adobe premier, and make an avi.
You cannot get sound the second way. Fraps is the easiest way to go. It does all the work for you.