You can download xsplit if u want, u can record ur game and ur webcam and mic or just ur webcam/mic or no mic, just what u like. But u need to register an account
--Update--
I guess Pewdiepie uses Fraps for game record and the own webcam software to record the webcam part and then he just edit the webcam part in it, that's what I think how he does it. But Xsplit will work if u dont want to edit it into the video.