When recording a movie, Jnes stores game play data in a binary file which contains the state of the NES plus your input. If you are just interested in capturing movies for yourself or sharing them with people who have Jnes, this is an effective way.
However if you want to share your video on YouTube.com or another site, you will need to convert your Jnes movie file to a traditional video file format. Jnes supports conversion to AVI and will contain the video and audio of your gameplay. For smaller video file sizes, you can use a video compression that comes with Windows such as Cinepak or Microsoft Video 1 which provide a reliable experience. If storage space is a concern you can try XviD, just be aware that you have to close the status window it opens or it will crash the application when the movie finishes.
Here is how you can convert a movie file to AVI:
Open the game you captured the movie from
Navigate menu File ▶ Capture ▶ Movie ▶ Play
Select the movie file you recorded
Click Save As and choose a location to store your AVI file
In the codec selection dialog pick one of the codecs mentioned earlier
You may now Start playback and it will store the video