The first thing you'll want to do is familiarize yourself with demos. It's pretty simple really, just use /demorecord and /demostop in-game. There's a wonderful little guide here which explains the basic ins and outs of recording and playing them.
Once you've got a demo or two recorded, you'll want to have Zloth's demo launcher. It's really straightforward to use and makes things much easier than playing them manually.
Demos aren't videos, so you're going to need a way to record those files into a video format. FRAPS is pretty popular, but the free version only lets you record 30 seconds at a time and leaves a little watermark up at the top. Wegame is a reasonable alternative that you won't have to pay for. Note that you can also use one of these programs to record straight from the game rather than using a demo. I prefer using demos myself for various reasons, but YMMV here.
Other than that, you'll probably want something to compile these videos into a short film. There are of course plenty of options here, most of which will cost you some money, but you can still make a great video using windows movie maker.
The only other advice I have to offer right now is to get inspired! Watch some CoH/V videos, see what you like, don't like etc. and think about the type of video you'd like to make. The fan videos thread at the top of this forum presents many fine examples. And always feel free to ask questions here, if you run into a speed bump there's probably at least one of us that has tripped on it before.
Or....
You could read the wealth of information assembled in the "Guide to Demo Guides & Tools" topic.
I want to start making my own videos from CoH but I dont really know what to do. Can anyone help me?