Hi there,
Make sure that Captivate complete version is 4.0.1 build 1658. (Help > About Adobe Captivate)
If it is Windows 7, then run Adobe Captivate as Administrator. (Right click on Captivate icon, then run as admin)
You can also try recreating the preferences and then try to record once again. (http://helpx.adobe.com/captivate/kb/troubleshoot-unexpected-behavior-c aptivate-4.html)
Thanks.