You need some kind of recorder to use. Fraps is a great recorder to use but to register it you need like $35 if I remember correctly or you can download the free version and only get to record for 30 seconds at a time. You also need a mic to put in your voice audio to actually comment on what's happening.

Good luck wish I knew more!

I've never done one, but I'd assume that you'd record your screen, then record audio after, but I know you are supposed to keep talking so people watching don't get bored. Also try to edit the audio so that you are talking about whats on screen if necessary