Enable remote login on your Windows computer, and note the ip-adress.
Start Remote Desktop Connection Client on your Mac, and enter the PCs ip-adress, and log in. Now you can record all your actions through Snapz Pro X or similar screeen capture apps.
This is a lot easier, and slightly less insecure, than using VNC.
You can download the Remote Desktop Connection Client from Mactopia:
http://www.microsoft.com/mac/downloads.aspx
Look at the bottom of the page...