If I remember correctly, there should be an option to record as avi. Pause the emulation, load the vba, start recording as avi, then resume emulation. When the vba finishes, stop the recording and trim off the end part in virtualdub.
Hey, neat. You're playing the same game I was playing to make sure I had the menus correct :O AND using the same StyleXP/Windowblinds/whatever skin I was using at the time xD
They took out the overhead levels (Thank you God, because they were terrible in III) and replaced them with two kinda shoddily put together versions of stages from Contra: Hard Corps.
Came out the same day as Contra: Shattered Soldier for PS2.