what you need is a capture card. search on google for "wii capture card" other consoles capture card are probably compatible..
or a tv card for pc (both probably are the same thing), but keep in mind, if you are using a tv card, (or tv to usb thing) try to look into the latency, if you want to play using the pc screen, some cards will display the picture half or even 1 second later... optionally you can use a rca splitter play on tv, and record on pc..
but a cheap and IMO the best way should be play on dolphin and a record software like fraps\bandicap\camtasia.. but if your pc is old or you preefer a real console... capture card it is