How should I render gameplay footage?

I play games a lot, and sometimes take video with my friends in MSI Afterburner so we can see it later. But MSI Afterburner makes HUGE files when recording. What program should I use to render this raw footage and make it smaller, but still high quality?

Which kind of video file does it make ? You could use some converter to shrink them but any conversion to smaller file requires applying different codec and some quality loss.
Here's some programs that can be used for that. Download Converters Tools for Windows - MajorGeeks