I've used DeSmuMe in the exact same manner as you described, but it provided .avi files as otput (in fact the option was 'Record AVI').
You should have that option there, I think it's a bit above the 'record video' one.
Once you've loaded a rom it will be available. It will ask you where you want to save the file. After that it will open a small box titled 'Video Compression'. The compressor will be set to Full Frames (Uncompressed). This will give you good quality but in very large file sizes. If that doesn't concern you, you're set.
If, however, you'd like the files to have reasonable sizes, I'd recommend getting TechSmith screen capture codec. I'm positive it can be downloaded for free online. It provides great quality when recording your desktop, or gameplay like this, but outputs normal sizes.
