read the fucking FAQS
2.11 Why do my recordings desync?
Recording your own matches is not implemented.
t'encode pendant que tu joues en fenetré avec vdub comme moi
1. You can record match replays of ongoing games, but this doesn't work if you're the one playing. Go Game -> Record Input and choose a file name. You can replay the file later in the Final Burn Alpha emulator. If you're playing you can go back into the lobby and spectate on your own game- however, doing this can add lag to the game in progress because you're simultaneously recording the match from the server as well as playing on GGPO. This is also more taxing on the hardware, which can degrade the quality of your match further.
2. There are many programs (HyperCam, Camstudio etc) which let you record things from your desktop. So you can replay a match recorded in FBA (see above), and then record it into an actual video format. You can skip step #1 above and just record directly from your desktop as the match plays in real time, but be aware that this is often processor/memory-intensive, and so the emulator may not run at full capacity while you do so. It depends on your PC's specifications.