I like the way the arrows move as well as the graphics expand, collapse, and appear animated.
If you're on the PC side... you should look into Camtasia Studio. It was built for this exact thing. Lots of the tutorials you see are built with it.
FLASH & VEGAS will work together.
You either export your video from VEGAS and import into FLASH to add 'stuff'.
or
Export your FLASH as VIDEO or SWF and import into VEGAS to add 'stuff'.
*If you're gonna work with Video in FLASH... you'll need at least FLASHMX (v7). FLASH 8 if you want to work with Alpha Channels or use the VP6 codec.
I don't know what they used, but I'd do it all in flash ( quickest way for me ). There's just an intro video and the rest flash.
You don't even need Vegas, but if you have to, do everything ( other than the talking dude ) in flash then export video in some uncompressed format, import that into vegas, add the real video intro and ending of that guy talking, edit to your liking and render.
( I'm assuming you know how to grab screenshots and import into flash, that's simple enough )
Import screen grab into your photoediting software ( if you just print screen, then you could paste that to new layer/object/image, depends on what photo editor you use, but it's all essentially the same thing, just called differently. Then crop, resize, adjust whatever you need to adjust and export it as a bitmap. Then in flash just import that.
Flash imports .png or tiff if you need alpha channel, but otherwise just a regular bitmap is your best option.