Discrepancy between VirtualDub CPU usage and Task Manager, Lag resulting
EZ Cap is an extremely cheap capture device and may be dropping frames itself.  You may also want to check if things are spiking any.  Can it play back video without recording it and if so, is it still dropping frames?  If so, then it is likely a hardware problem.  If you are plugging it in to a non USB2.0 port, that could also cause problems.

I would recommend trying a low compression codec and see if that will work.  It will use lots of disk space but take a minimal amount of CPU.  You can then encode the intermediate format to a good quality high or moderate compression format to save on space.