That's because most Windows laptops only have HDMI-out ports, not HDMI-in. A capture card connects to your laptop's USB port and acts as an adapter, receiving the video signal from another computer.

Magewell's Eco Capture Dual HDMI M.2 provides video input support and works in any device with an M.2 2280 slot, including compact mini-ITX builds.

This cheap DIY HDMI capture card should be great for capturing HD footage, assuming you can source the chip.