Use a program like FRAPS which, when running in the background, will capture picture or video. Go into the replay, hit the appropriate key to start capturing video, then when it is over, press the key again, quit the game, go to the directory the program is installed in and your uncompressed AVI should be there. Don't record too much video in one go as the file is quite large due to no compression. This file can then be compressed in a program such as VirtualDub and converted from AVI to MPG.