Feature that allows to record steps that you did with photoshop (not a video)
1. You are creating a Web 2 effect a Real Estate website, you fill like you might forget the steps, so you click record my action.
2. You save your recording.
(After a month you completely forgot on how to repeat the same effect)
3. You open the recording and it guides you through the process.
Can be also used as Tutorials for others.
Been there for several versions.
Either record it in actions, and/or turn on History Log in the General tab of Photoshop Prefereences.
If you mean literally record, as in a movie of the stuff happening on your screen, that is better done via a third party screen recording utility. And of course you have probably seen the results of these utilities in any of the major web based video tutorials such as Lynda.com, Totaltraining.com etc.