Welcome to our community, AFL
Typically you won't be able to use Captivate to accomplish
this. Audio MAYBE, but only if your sound card supports it. Video,
most probably not. Usually you end up with a black box where the
video would be.
The best way to get stuff like this is to have it in FLV
format already. But it doesn't sound like that's the case here. You
sound like you are wanting to simply capture it as it plays. You
may wish to investigate a few other products.
Fraps (usually captures games)
http://www.fraps.com
Applian Technologies
http://www.applian.com
Cheers... Rick