I'm not sure what you mean by "segments", but basically
recording is pretty straightforward.
1. Set the scene. (Start the application you wish to record)
2. Rehearse the steps.
3. Reset the stage (Ensure any dialogs you interacted with
are blank again and all that)
4. Start Captivate and click File > Record/Create >
(Choose type of project here)
5. Set any Captivate options you wish to have in effect when
6. Click the red "Record" button and perform your steps.
7. Press the "End" key to tell Captivate you are finished
8. Edit what you recorded.
9. Distribute to your end users.