This task is pretty simple, and for you WinTV-HD and HiPix people, just consult your manual and skip right along. But for you poor bastards, like myself, with a WinTV-D, I could write a novel on how to record. I'll run over a few steps just so you folks know what's the what (because it took me two days to figure out my problems).
First off, make sure you have a clear system, with no Hauppauge crap. That means run the Uninstall program that comes with all Hauppauge stuff. Next install the VFW Drivers (must be vers. 220.127.116.1180 or 18.104.22.16888) that I've included. Reboot this puppy. Next install the WinTV2000 application (Version doesn't matter), so just grab the newest one off of the Hauppauge FTP server. It should ask to reboot, but if it doesn't, do it anyway. Finally, install DTV39xx Update (vers. 2.5.19226), also included. Note that it took me about 3 days to get my hands on that DTV39xx file (and contacting a few people). This is a precious commodity since Hauppauge no longer supports DTVCap (and have removed it from their ftp).
Now that you've got the drivers installed- the recording part. Open up WinTV2000 and a box should come up asking to scan for channels. Follow the instructions that come with the WinTV-D for this part. Once you have your channels mapped, go to the channel you want to test capture. Now here's where it gets fun. Hold down CTRL and right click on the TV screen (where the video is playing). Note that you've got to hold the right click button down for a second or two before a menu pops up. On this menu there's a "Diagnostics" option at the very bottom. Go and check that sucker out. The diagnostics menu is where you can check your signal and what not. My channels are at about a 20 SNR (in dB). I know this is low, but it's constant, so there are never breakups. Much lower than 17, and you're going to have breakups and lose signal. Anything higher than that, and as long as it's constant, should be fine.
Now that you've checked your signal, close the diagnostics window, but leave the WinTV2000 application open. While that's running, run the DTVCap program. The TV window might turn greyscale thanks to Hauppauge's lack of real support for the drivers, but don't worry, just change the channel a couple times and it'll go back to color. Now navigate to the channel you want (if you've changed it), and in the DTVCap window, click the Get PIDs/Programs button. It will pause for between 10 and 20 seconds as it gets the list of streams running on that channel. Most channels have their streams labeled, such as ABC HD Stream, or something along those lines. So once you have the streams listed, click the plus to expand the Identity tree. There will be a list that has a PAT/PSIP, a few program streams, and some Filler. Uncheck everything except the PAT/PSIP Data, and the Program Number you want. Now that you have the stream selected, check the Capture to File box, and type a file location where you want the transport stream to go (i.e. D:\capture\my_file.trp). Now hit Start Capture and you should be recording the transport stream. I usually get from 10 to 20 errors right off the bat, and then no more for the remainder.
That's the basic way to get capture working for a WinTV-D. For an HD or HiPix, it should be far less complicated, so you shouldn't have any problem figuring it out yourself.