After pressing "Start" in the Record dialog, a "Save As" dialog is displayed (unless Record to bitmaps was checked). Specify the location and file name of the output AVI file, and press "OK" to continue. The "Video Compression" dialog is now displayed. Select a compressor (or "Full Frames" for uncompressed video), configure the compressor as desired, and then press "OK" to begin recording.
Assuming you have enough disk space, it's usually preferable to record uncompressed, and then do the compression afterwards, using an external application. This allows you to experiment with different compression settings without re-recording the movie. This is especially important for deep zoom movies, which may take days or weeks to render, even with distributed processing. In such cases, it's also recommended to record to bitmaps, so that an aborted render can be resumed.