Mark, I use a combination of software to produce that video that I did for MoodleMoot (and my lecture videos.)
For screen shots and screen videos, I use Camtasia. Then, I take the output of these products into Adobe Premiere for final editing, composition, and encoding. Along the way I use PowerPoint, Adobe Photoshop, and Adobe Audition to create the various media files for Premiere.
Yes, one might try using only PowerPoint, as in voice-on-PowerPoint. Some versions of PowerPoint allow you to export as video, but I have never been satisfied with Microsoft's results. Also, how one might embed and caption screen videos gets really cumbersome. But it is not a bad place to begin.
As a stepping stone, you might consider making videos only with Camtasia. You can export your PowerPoint slides a jpeg files, and then import them into Camtasia.
I use only Camtasia when I want to make quick, unedited screen videos. It is pretty good for this purpose.