Ah! I just use a low Processor hungry Peice of recording software, I used SAWPro, Cool Edit Pro and Sound Forge take up too much resourses.
Set it to record, Go into GP4, do whatever I wanna do! :P Go out, edit out all the silent crap, menu clicks and menu music, and just have GP4 racing engine :D
(Ian thinks his explination makes it sound more difficult than it is :S)
If you can't find any recording software suitable, e-mail me and I'll send you SAWPro (Its only about 2MB :D)
And no, Windows Sound Recorder is sh*t :P
PSN/Xbox 360 ID - Ianwoollam