You'll need sofware and a decent microphone. MXL makes a great "desktop microphone kit" that'll plug straight into your microphone jack on your laptop
(click for the link) . Costs about $100. That's what I used to make that recording.
You'll also need some kind of audio software to handle the recording of the sounds and also any cleanup work. Depending upon how serious you are, the software can be really cheap (can probably even find freeware software on download.com or something like that) or really expensive (Adobe Audition).