Advanced MP3 Recorder
records directly into MP3 audio format. Can record straight from your soundcard.
Another way to do this is to simply record in Sound Recorder into a .wav format, then use a WAV > MP3 converter to compress it, as .wav files are huge. dBpowerAMP
is a great, simple, free program that will do this for you. Before recording, in Volume Control, you'll need to select the recording source as the sound output source.
As far as video, I don't know any programs that do this, but I'm interested if someone else knows of something that does this...