Making Training Videos

My company is using a proprietary software bundle and I have been selected to teach the entire organization on how to use it. (A Dilbert cartoon come to life).

I want to create a series of training videos that will be composed of me using the system and a voice overlay that will allow me to describe what I am doing. Simply showing my mouse moving across the screen clicking on the different parts of the app or showing what commands I am typing, as I talk about what I am doing.

I want to be able to save in a standard video format, MPEG, AVI, or ASF...it really does not matter as long as it plays in windows media player.

Does anyone have any ideas if there are software packages available that will help me do this?