Mostly Walking Technical Question

Inspired by Mostly Walking, I am seriously considering doing a Let's Play with a couple friends on the games I played when I was little: edutainment games (should be fun to revisit). I was wondering what programs Day[9] uses to a) record the game and b) record Sean B. and Bill at the same time, as all four sound sources (the three of them and the game) are perfectly high quality. Any help with this would be greatly appreciated.