Capture Devices can be found anywhere. I have a Dazzle DVC 170 capture card which is very easy to use. Basicly one end has a USB connector and the other end is a set of composite video cable ports. To record videos, all you have to do is connect the USB connector to the USB port in your computer, and connect composite cables to the monitor output ports on your television and the A/V ports on the capture card. Then all you have to do is use the capturing software included ( you can use a different software such as Sony Vegas or Windows Movie Maker) to record your videos. This though, will only give you standard quality videos. For high quality videos, I recommend you buy a Gamebridge 1410 which has the exact same setup with the Dazzle except that to use it, you have to have an S-video port on your television. The Gamebridge will transfer your game onto your computer screen, and then, I recommend using Fraps to record your videos.
Prices: Dazzle DVC 170 Capture Card- $84.98(Frys price)
composite cables-$2.99- $25.00)(Frys price)
Gamebridge-$81.99(Ebay price -Maximum) $189.99- (Amazon price - Maximum)
Sony Vegas- $800.00- Use free trial
Windows Movie Maker- Usually already available on most computers
Fraps- $37.00- use free demo
All prices are before tax.