In the Coded UI Test Builder, you can start recording your test actions by clicking on the Start Recording button.

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The button changes to Pause Recording.

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Recorder takes some time  (<1s) to start. You should start your test actions (which you want to record) only after the button has changed to Pause Recording. [There is a progress bar indicating that recorder is starting.] On slow machines or heavily loaded machines, recorder start may take longer. Actions that you perform before the recorder starts will not be recorded.

When an action is recorded, a tooltip will show on top of the Coded UI Test Builder with a description of the recorded action.

You can also see the recorded actions in the Recorded Actions dialog - http://blogs.msdn.com/mathew_aniyan/archive/2010/01/19/coded-ui-test-tip-of-the-day-6-see-the-recorded-steps-and-delete-redundant-actions.aspx