A very good way to capture Pronto Hex is the IR Widget, which cost $29.  It captures signals, and can directly export the raw capture as Pronto Hex, or it can decode the IR signals and use MakeHex.dll to export a cleaned up version of the capture.

It uses the free software IRScope.

As an aside (since this thread is in the CI World section of the website) , I think any custom installer who deals in learned signals and remotes which need Pronto Hex should have the IR WIdget (or something similar) in his toolbox.