There are a number of ways and programs to accomplish what you want to do. if you are working on a windows computer you can load the free Windows Media Encoder 9 ('google' that). With WME9 you'll be able to make window capture movies but you won't be able to annotate them, but you can narrate over them. I like WME9 for quick reolutions from the HELPDESK. When I worked support I would send users a quick narrated movie about how to make a Table of Contents in MS WORD or a distribution list in OUTLOOK; a person can get really quick at it and you can save the movie files with the call centre log number for future reference. i.e. make once, send many times.
I've used Adobe Captivate and Techsmith Camtasia and found them very easy to use. I would lean towords the Adobe if you are starting to make and collect a large number of learning objects and may be working with SCORM or similar LMS. For a bunch of 'one-offs' Camtasia or similar will do nicely. In a pinch i.e. ZERO budget, I've even made training material using screen captures, PowerPoint and an animated icon.