Sometimes - getting this to work is frustrating. The problems generally are caused by the security hardening of the OS hosting the console... not an issue with OpsMgr. Here are some tips. This is seen especially on hardened versions
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Read the complete post at http://blogs.technet.com/kevinholman/archive/2008/11/15/recording-a-web-application-browser-session-driving-you-crazy.aspx