I use sony vegas to capture my game footage directly, and if you change the sound input to a microphone you can record your voice at the same time. If you want to record game audio as well (this is also the free recording option) I would recommend streaming your gameplay in VLC (a free media player), recording with "fraps" or a similar screen recording software, and recording your voice in audacity (free audio recording/editing program). You can then use editing software to put the audio of you speaking with the video/audio of your recorded game. Like I said, I use sony vegas, but I'm sure windows movie maker would work fine if you're just adding audio to a video.
Here's some links to the software I mentioned:
And if you want a cheap capture card to use, I got a component to usb adapter from www.geekquipment.com and it's always worked pretty well for me
I've recorded some game montages (Mostly 360, some PS3) this way