Hmmm, I think it's just record [demo name] in the console. Then just type stop to end recording. (Oddly enough, stoprecord does nothing.)
It's saved as a file native to HL2 probably in the relevant (CSS or HL2) directory under SteamApps/[your account], so you won't be watching it with anything other than HL2. If you want to record a video, then try FRAPS or something (I don't have experience with this).