Record midi and video at same time?

I watched the tutorial about how to make a piano video with particles but I'm wondering how you record the midi and the video files? Is there a way to do this simultaneously? I want to do this for a youtube video but also for a live performance where you can see my hands on the keys while the particles are going off.

Or do you have to do them separately and match them up? 

I've tried aligning my keyboard video with the keyboard on screen, but when I recorded, I only got the midi file despite the camera being on.

Am I doing something wrong or what is that process (of recording video and midi) before creating the actual particle video?