Windows 7 Problem Recorder

Is program
    psr.exe

Can find by searching for Problem Recorder


http://blogs.msdn.com/b/patricka/archive/2010/01/04/using-the-secret-windows-7-problem-step-recorder-to-create-step-by-step-screenshot-documents.aspx

FOR XP

It won't run under XP (or Vista (except for a reference to a modifed one you can find).  But there is an alternate, from Microsoft

See:
http://technet.microsoft.com/en-us/magazine/2009.03.utilityspotlight2.aspx?pr=blog
File is here:
http://download.microsoft.com/download/f/d/0/fd05def7-68a1-4f71-8546-25c359cc0842/UtilityOnlineMarch092009_03.exe

The following article illustrates some "how to's"
http://www.winhelponline.com/blog/screenrecorder-screen-capture-utility/