To record what you're watching in vlc using the record button. All you have to do is click the red circle. If you don't see the record button. Go to, View -> check Advanced Controls.
It saves the file in "My Documents" folder for me.... i'm guessing thats the default save location because I don't remember changing any settings for recording.
I never used the demux-dump command line way but in Windows XP you do it by going to: Start -> Run, then type in the command below and click OK.
The colored parts is what you change.
The red part is where your vlc.exe is installed at. If theres a space anywhere, like there is in "Program Files", you need to put quotes around the "C:\....\vlc.exe".
The green part is the URL of the file you want to record.
The blue part is the name of the output file that will be created with whatever you recorded.
I don't know where this file is saved though. Try checking "My Documents" folder.