There isn't one piece of plugin software for making LFS movies.
What people usually do is start to view a replay that they have saved, and capture the footage with an application called FRAPS
www.fraps.com
Having captured their raw footage they then use a video editing suite, Windows Movie Maker and Adobe Premiere are two common ones, but basically all you need is a software capable of importing and editing a large .avi file.
Having done the editing many people then use a software like Virtual Dub
http://www.virtualdub.org/ to encode their finished movie clip.
So basically it's a 3 stage process,
http://www.lfsforum.net/showthread.php?t=219 is the help topic for movies.