Yep you have to download some video codec. But, if you're using windows XP, you should already have some of them installed.
Just press the "Record" button, then select the AVI destination file and the codec. Then, just click "run" to launch emulation. Emulation is *very slow* during recording but that's normal.
When you want to stop the record, just go back to SainT user interface using F12 and then click on "stop recording". Now you can use your AVI file as you want !