There are three ways to record in the Player app:
Clicking the Record button in the Studio tab
Clicking the Record icon in the in-game HUD’s Create Hub
Pressing a Hotkey, which you can set in Create Settings > Hotkeys tab

Navigating My Media
All screenshots and recordings made through the Player Desktop app can be found in the My Media tab.

Clicking the folder on top will give you the option to change the file destination for your screenshots and recordings.

Entering the title of the media file in the Search My Media bar will filter the page with the closest matching results.

To help you navigate, you can also Sort the files:
By Media Type: All Media, Videos, or Images

By File’s Properties: Most Recent, Duration, or Size

By Form: List or Collage

Selecting Files
Hovering your mouse over a file will display several controls

View/play media file
Opens the default viewer depending on the media file
Share media
(For videos) Open video with the Express Editor

The dropdown menu allows further options:

Express Edit - Opens the media file with the Express Editor
Rename - Allows you to change the media file’s name
Delete - Deletes the file.
Open File Location - Opens the folder where file is located in
Open With… - Allows you to choose from a list of programs to open the media file with

To select multiple files, click the checkbox on every file you want to select. You can also select a file and then Shift + Click another to select both it and every other file in between.