I haven't had any luck trying it your way either.
Try this:
Get to start of what you want, pause the playback.
Click button to set up camera shots.
Select "New Shot".
If you just want to record what you're seeing from the cockpit:
Shot Type: Plane Relative.
Starting Camera "Grab All".
Continue playback until you want to stop, then pause the playback.
Ending Camera "Grab All".
Play your shot to see if it's what you want. If so, select "Stream shot to AVI" and play shot again.
Screen res (I choose max which is 640x480)
FPS 30
Name the avi file it will create.
Hit Ok.
Choose codec (I use Microsoft Video 1)
100 percent compression quality
Hit Configure...choose 1.00 temporal quality
Let it do its thing and you should have a decent avi file to view.
Just for grins, check out my movie which was set up this way - although I played with shot setups a bit.
http://www.youtube.com/watch?v=DpeizpYMu1U