You'll have to screen record it with a separate program. I believe there is a screen recorder that comes with Windows 10, have a google and see what you can find about it. If you have a Nvidia gpu there is also a Nvidia screen recorder that works well, it's what I use. I think you'll need to download Geforce Experience and set it up through that, google is your friend here. You can adjust the video and audio quality of your recordings and even set up an instant replay feature that constantly records the last few minutes of gameplay and saves it if you press record.