Great news, I finally managed to get it to work.
Silly me, I had to activate the recording AFTER booting into WB. *Doh*
My copy of AF 6 should arrive this week so I'm going to record how a user should do to install OS 3.9 on a WinUAE enviroment, then after installation of the OS how to setup Picasso96, MUI and some other programs, and lastly how to make it all pretty with PowerIcons. Oh, and a quick tour to Aminet with a browser. Then if someone actually WATCH the videos I create is another story.. but I'm having fun anyway and will get a chance to try out some videoediting. :-D
Anyone using windows besides their Amiga that could point me to a program that records the Windows desktop too? Could be useful.