Sorry, if you're talking about the "Saved Films" feature, it records your multiplayer matches automatically. Go to the theatre option in the main menu, then you can save/edit them in there.
As I say, in the game's main menu go to the Theatre Lobby and your most recent games will be recorded there. It stores up to about 25 of these auto-saves.
Just saw your other question about getting them onto YouTube. As I said in my first post you'll either need a computer and a video capturing device in said computer, or use something called GeeVee, but uploading through them can take a LOOOOOONG time
Nah haven't mentioned this yet :D I'm afraid they didn't include voice chat recording, so you'll need to record that separately through a mic for your voice, and for other people's voices you could hook up your 360 to the line in of your PC (again using a splitter) and record it with a program like Audacity: