A simple question: Why do I get only the game sound effects when I play a recorded video? I have DOSBox 0.70 & I used fullscreen & my OS is Windows XP. That should be enough info.

You didn't install the ZMBV codec that comes together with DosBox installation.
Install it (look into the DosBox menu under your Start Menu) and the videos will play correctly.

It worked! :D

But then do I have to use fullscreen in recording the videos? 'Cause mine turned out to be tiny in window mode when I played the clip.

its in the resolution of the game. the fullscreen actually just changes the resolution of your screen, so its still 'tiny window' but stretched on whole screen but . so you can um..err..stretch window in blayback as well?