IMPORTANT: This guide and commands are no longer mantained, some information about formats still relevant but encoding commands are not, please reffer to the official ffmpeg encoding guides.
In order to encode audio/video with FFmpeg you will need to download the source code of FFmpeg along with some other libraries and then compile everything. I know that sounds very very interesting, that's why I have here a full set of FFmpeg compilations for Windows, GNU Linux and Macintosh OS X (Inel).
You can also use this extremely easy guide to install FFmpeg on your Windows, GNU Linux or Macintosh machine: FFmpeg 0.5 Installers and learn more abour FFmpeg and other encoding tools with this very useful cheat sheet.
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Select the output format: Use "command" to paste the command to your Windows command prompt or your Mac-Linux terminal. Use "Script" to copy and paste your code on a ".bat" or ".sh" file.