Take a capture of the inside of a DOS window running on your desktop and use that to make it LOOK like what you want.
I've used screengrab utilities to capture the text of the DOS screen and pasted into Word. (SnagIt version 11 and earlier had this functionality, it is not available in version 12 or later.)
I then created a style within Word that used a mono-spaced font, applied text color, background color, added a border, and a shadow. These items together made it appear the the DOS text was a screen grab, yet the text was searchable, modifiable and reusable.
Specific to your question, I'd create graphics of the F-keys and add them to the page.
You may be able to edit the preferences of Captivate and change the recording options so that the F-keys aren't used, which may allow them to be 'captured' during a recording.