To make a basic video, you will need to do 3 things.
You may know all these, but let's just get the ball rollling, eh?
1) Buy Fraps, to capture the footage itself. You can just use the Shareware/Demo version if you don't mind www.fraps.com being stamped at the top of your video. Thre may be other better footage grabbers, I don't know.
2) When ingame, press Alt-F12 to make your HUD/Interface disappear.
3) Edit the raw footage, then save the end result as a ordinary movie file. I would suggest Windows Movie Maker, because it's free. It is very limited, but this makes it an ideal first video editing experience, too.
And can I give you some actual advice, before you start?
In your first session, aim to make a very small terrible-but-complete scene. The options are endless, and your greatest gift as a creator just may be your self-control. If you have something - even something terrible - to show for your time, then you will still feel like you achieved something.
On another note: If you would like some custom music for your movie, please do not hesitate to inbox me. I will point you towards some of my previous work, and we can go from there.
There is also an in-game tool called demorecord though it's currently not properly working. Any custom NPC costume you create in the foundry will simply not show up. Though there is a way to get around this.
The following are links to tutorials that people have made to help you use Demorecord with the aid of a program STODemoLauncher that will help you record, edit, render and produce your video content.
Soriedemís Demo Record Tutorials (for making trailers), parts 1, 2, 3, 4