"making a frag video" is a pretty complicated process. But the general idea is to record gameplay and edit it with video editing software.
I know kirby made an excellent recording tutorial: http://teamfortress.tv/forum/thread/3521-how-to-make-videos-for-tf2
as far as editing itself goes it's not something that can just be explained in a post reply. You should look around on youtube or something for some basic editing tutorials.