Can't comment on the guide posted above as it doesn't work (the link that is) but I use a small program called FRAPS...
Couldn't be easier and the replays are saved as in-game quality although file sizes can be large depending on your resolution.
• If you use Fraps, the recommened settings are (on the Movies tab) 30fps, half size, don't record sound, no cursor (I use full size at the mo!)
• Launch your video capture program and PES in a 640x480 window (I use a much larger resolution thus larger video files)
• Start your replay and press the record button for the video capture software (in Fraps this is F9 by default)
• When you've finished recording press the stop button (again, F9 in Fraps)
The vids can then be played straight back in Windows media player or edited as you wish via your favourite editing suite i.e.
Once you've finished recording the different angles you want to use, open Windows Movie Maker (only with Windows XP)
Import your video clips and add to the timeline, you can add any transition effects here
When you're done, click on File > Save Movie File, choose to save to My Computer, then specify a location and filename
Click on Other Settings, then from the dropdown list choose Video for Broadband (512 kbps)
This program is capable of recording ANY in-game footage...the whole match or even the computer generated replays during and at the end of games!!!
Search via Google or wherever else you get your stuff