Not with PJ64.
Mupen64 has some kind of feature like this... though it's not of much help as it doesn't put it in a known format as far as I know.
Fraps + fullscreen play is a much easier solution.
Doesn't put it in a known format? There's a dropdown list to encode to whatever you want. Screen recorders suck balls and don't capture the video frame-accurately.
"as far as I know". I just know it supports it. Dunno how. Assumed that it would need a bit more than just an avi to read back in for rerecording though. I never actually found the setting to do the recording.
As a side note, I see Mupen64plus has had some rerecording work done on it recently.
You don't get it, you make your movie FIRST (however many times you used a save state) and then you let it playback when you're done and record the frames to an AVI.