First you'll need some software to record activity on your desktop. I can recommend Jing and Camtasia.

If you are looking to produce high quality video content you might also want to get an HD Camcorder and software for editing those videos. We use a Canon HF100 and Final Cut Express software to create professional looking videos.

So, once you have some video content, you can use Camtasia to capture stuff on your desktop and add notations and voice content as required. Splice together your HD Video with the video of the actions on your desktop to produce professional looking content for a variety of practical applications.

Here is a quick sample (Double click the image to start the video)