Attached Link: http://www.techsmith.com/

Snagit will do it. Link is to the home of Snagit and Camtesia, their higher priced video screen capture utility. Grab a free 30 day demo download to try it out yourself. Some screen capture utilities have a toggle to allow you to include the cursor, I know Snagit does, can't remember some of the other video screen cap apps I've used in the past do or not, like Lotus Screencam and Microsoft Camcorder included with Office 97.