This task turned out to be much more complicated then I would have expected. First just creating the video took a fair amount of time, trial, and error. I used CamStudio to capture the screen video and then the trial of Video Editor 8.
After that was done I ended up using Any Video Converter to convert the file to FLV. Then I needed a SWF player to embed in the web page. I looked at a couple of options, but ended up with OS Flv. Once that was done and working, I ran into one last issue, resolved here. IIS doesn’t serve FLV files by default, so I needed to add the mime type.