On Windows Vista and Windows 7 PC's,
My Screen Recorder can record from your speaker and your microphone simultaneously.
Use the Tune Audio wizard to select your recording devices. Check both Microphone and Speaker devices. In the speakers list, select 'Stereo Mix'. This may also be called 'What U Hear' or 'Wave Out Mix'.
Be careful not to have the microphone too close to the speakers or the speakers too loud so that you create a feedback loop.