Hiding the GUI is an option, by default it is hiding the GUI and follows the player instead of recording the whole screen. Open the options (F3) and change that if you would like to record GUI stuff.
The videos work fine for me. The Windows Media Player doesn't seem to be shipped with many codecs, need to check if we can eventually support some more simpe/common codecs. You can also install the ffdshow decoder from a site like
http://www.free-codecs.com/download/FFDShow.htm.
Update: here uploaded your MPEG4 video to youtube: