If you just want to try it out and not spent a lot of money you can go this route.
Cheap Capture Dongle https://www.amazon.com/-/de/dp/B09FLN63B3
In addition you need a cheap HDMI splitter, https://www.amazon.com/-/de/dp/B0732MD43P, and 2 more HDMI cables
All this will set you back maybe 40$ if you have to buy everything new.
The Capture dongle is cheap but does it's job, I occasionally use 2 of them, not the greatest quality but it's cheap enough to not worry about it if it's not working out the way you want.
When I was first starting out I used this series of HDMI capture card from amazon. It was reliable and recorded at 1080p for me.
It worked for a solid 2 years before I ended up switching to Elgato. I didn't have much issues with it except figuring out how to get the audio to play in OBS and all you had to do was go into your windows sound option and enable it from there. I would say if your on a budget you could give it a try.
This is the one I use: https://www.amazon.com/Capture-Streaming-Broadcasting-Conference-Teaching/dp/B09FLN63B3/ref=sr_1_6?crid=37BUUFO17O7UX&keywords=capture+card&qid=1680566150&sprefix=capture+card%2Caps%2C173&sr=8-6
The thing surprisingly works great for its price point.
No. A splitter doesnt convert the video signal to USB, its simply powered by the USB cable. It splits the HDMI signal into multiple outputs so you can connect it to multiple devices.
You NEED something with a HDMI input to provide the video signal to your computer if you want to stream or capture footage.
You CAN use the splitter in combination with a cheap HDMI to USB recorder. Something like this would work.
Or you can bypass the need for a splitter at all but just getting a Capture device with HDMI passthrough. It plugs into your computer via USB or a PCI slot, and gives you a Input port for the system signal and a Output port which goes back to your display (for no added latency).
EVGA and Avermedia make some of the cheaper capture devices, I doubt youll find those at bestbuy.
https://www.evga.com/products/product.aspx?pn=141-U1-CB20-LR
https://www.amazon.com/AVerMedia-Portable-Pass-Through-Playstation-GC513/dp/B0763TFZWT/
And obviously theres bigger names out there like Elgato and Blackmagic, which are more expensive.
If youre willing to risk it there is cheap no-name products on amazon which might work, but good luck if it ever breaks;
https://www.amazon.com/DIGITNOW-Converter-Recording-Streaming-Broadcasting/dp/B097DBWKFT/
Here you go:
NES -> Distro -> TV & Capture Card
https://www.amazon.com/MT-VIKI-Splitter-Composite-Distribution-Amplifier/dp/B0882RHYTW/
https://www.amazon.com/Converter-Composite-Adapter-Compatible-Blue-Ray/dp/B0856WDDJB
https://www.amazon.com/Capture-Streaming-Broadcasting-Conference-Teaching/dp/B09FLN63B3