How do I record a video with a PNG-overlay ontop? (like a crosshair, example)

I want to make a simple video recording of a video game with an overlay. This overlay is a crosshair. It can be anything. The program simply projects any PNG ontop of any window. Is that game in windowed mode, is that icon ontop. It can be used as crosshair as you can see.

Now when I record a video, this crosshair isn't shown. Why is that and how to show it?