Note by mod: This was split away as it got a bit of a lengthy discussion that can be linked to if this question comes up again later. Tagging @roboya to ensure they are notified.
There are many scree capture programs able to take videos of your screen for all platforms.
Kazam or simple screen recorder are options i use for linux (plus KeyMon to show which key or mousebutton is pressed.)
I think @maui might be able to give a hint for windows as he made quite a few screen recordings to showcase his tools.