How to record screen while installing Windows?

An option is to use a second PC that has a video capture card installed. There are a few out there if you search that will let you input and record from computer sources like DVI or VGA.

You take your first pc video out connect that to a video splitter so you can run that video to a monitor and also the video capture card on the second pc.

You can install Windows in a VM and record it with a screencapture-tool. (For example use Virtual Box to install windows)

VirtualBox is a general-purpose full virtualizer for x86 hardware, targeted at server, desktop and embedded use.

Virtualbox Website