I want to teach Autocad,
I want to do it by video, create my own video,
launch the software Autocad,
click and teach, record my sound and the screen, make it into a video.

Which software can do that?

I use a tool called XVidCap Screen Capture utility (this creates an mpeg file on the fly) (http://sourceforge.net/projects/xvidcap/)

any other more recent software?

Does Autocad have a Linux version? In other words, are you searching for Linux or Windows software?
If it is Linux, Kazam seems to get some nice reviews (I never used it).

Sidenote: I think that you get better quality videos if you don't record the video and audio parts simultaneous.
I would do it this way:
1. Make yourself a script want you want to show and what you want to say.
2. Record the video.
3. Record the audio while looking at the video, retry the parts where you stumble across words or you think you are hard to understand.
4. Mix the video and the audio part with your favorite video editor (kdenlive seems to be pretty good for such things)