Are you talking about a console game? Or a computer game? It sounds like your talking about a computer game to me..
If you don't already have if thats a case, your going to need a video capture card of some type, and most likely another computer.
The vid cap card is necessary, but the other computer isn't. You could just record the footage onto a vcr (assuming you have suitable TV-Out's) but you don't want to do that right?
I don't think its feasible, unless you just have this demon of a PC... just the thought of trying to use your system's resources to play a game AND capture video footage at the same time without losing frames (among other problems) doesn't seem feasible. Now if all you wanted was footage that can usually be extracted by other means from most PC games, but otherwise I can't think of anything to help ya
