CamStudio is a free screen recording application that can be downloaded here:
http://camstudio.org/

For those who have wanted to record their gameplay from games within the Retro Game Room or from other applications using CamStudio and get the error 'WaveoutGetSelectControl() failed' when selecting the 'Record Audio from Speakers' option (which gives you the ability to record audio), here's a solution which worked for me.

This method only works for windows users
1.Right click the little audio icon at the bottom right of your computer (you may need to click the arrow to expand more icons to see it).
2. Click 'Recording Devices'
3. Right click the white background in the window (you should have the 'Recording' tab open) and than choose 'Show Disabled Devices' and 'Stereo Mix' should appear (but it'll probably be faded)
4. Double click 'Stereo Mix' and from within the 'General' tab, toward the bottom you'll see 'Device usage' with a drop down box, from the drop down box, click 'Use this device (enable)'
5. Click the 'Listen' tab and from the 'Playback through this device' drop down box, select 'Default Playback Device' (it might already be selected).
6. Go back to the CamStudio window and go to Options and click 'Record Audio from Microphone'
7. Go back to the Options tab and this time go to Audio Options > Audio Options for Microphone
8. From the 'Audio Capture Device' drop down box, choose 'Stereo Mix (Realtek High Definition)' and than click Ok

That's it, that should work.  Try recording your gameplay and the audio should also record (the audio volume of the recording will probably be a bit more quiet than the actual recording).

For some reason every time I try and watch the videos I make it say it's not a supported format so I can't watch

In windows xp, the way to fix that is to double click on the volume icon and then select  options->properties.
Next to the Mixer Device, select the "Realtek HD Audio Input" and then make sure "Stereo Mix" is selected.
Click ok to confirm.
Under CamStudio, select options->record audio from microphone.
Then go to options->audio options->audio options for microphone and select "Realtek HD Audio Input" as audio capturing device.

All instructions listed here can be found (skip the first 30 seconds introduction) at:
http://www.youtube.com/watch?v=HXWwuTvr3KI

Enjoy!

shahar_m1 : Thanks for the info.