Tee Video

OK so my question how can I make a video like this:
http://www.youtube.com/watch?v=knr-5ZCy0LQ

I don't know what program to use and how in the YOUTUBE video There is no cursor. Can any1 tell me cause I only know how to save Demo and that's all. How can I make a video without the weapon cursor (i can't remember the cursor name now (in not english xD) ) So thats all

PS.
The video is awesome xD