I don't believe there is any built in method to turn your display video to video in DV format and feed it out through the firewire port (it would be a neat idea but need a fair bit of porcessing)
You could though convert the VGA output to analogue video (you would need an adaptor) as many DV camcroders can record this. Don't expect it to look brilliant as the clip in windows media player may be one frame rate, your iMac display will probably be running at a different rate and than your CV camcorder will record it ar 29.95 or 25 Hz - depending on whether you use NTSC or PAL.
It's a bit clunky though.