Confira KeyPosé - Saborear seus screencasts com atalhos . É exatamente o que você está depois:
How often have you found yourself recording a screencast annoyed by the fact that only the mouse is visible? I haven’t seen any screen recording software that provided an easy way to display shortcuts on screen as you type.
Most of the fancy UI stuff happens in OS X land (see Mouseposé ) but I needed the functionality under Windows.
So on a chilly afternoon I sat down and wrote a litte utility that implements a global key logger which diplays all shortcuts and keystrokes as you type - on screen and with a semi-transparent overlay. This makes it very easy to show any shortcuts you use if you for example record a software demo.
To get a feeling what it looks like: Screencast