These apps capture everything on your screen and convert it to a swf. Truly the best way to show a demo of software working or for training purposes.
Camtasia was one of the first products on the shelves, but only exported to avi format. Currently they have add-on components that will export to swf format.
Other products are FlashCast from MDM and CamStudio from RenderSoft which is free. Also, worth a look is ScreenFlash and RoboDemo.