All right, first of all, if you're like everybody else, you probably have the original VBA. This version is not good for recording videos because it has some serious desynching (sound lag) issues. So, I'd like to point you to this link:
http://tasvideos.org/forum/viewtopic.php?t=2050
It has superior versions of VBA. The first two links in the first post are version 20, and the third is version 19. Both should work fine, but I use 19 because I heard it's less glitchy (though with Telefang, it shouldn't matter).
Second of all, here's how you record: when you want to start recording, just go Tools -> Record -> Start AVI recording... (this is different from Start movie recording... where it records a file that just contains a save state and button presses, but you can do this method and then record an AVI file from this file if you wish).
One more thing:
when recording, play in Full Screen mode. For some reason, doing this prevents the sound from lagging. I don't know why it does, but it helps. The only resolution I tried is 800x600 (which works fine), but others may work fine too.
Then, you can use Windows Movie Maker to edit the AVI file if you want.