Use Media Player Classic, it has a screenshot option in one of the menus and it's a tiny download. Click on the second link on the page, the one that says "mpc2kxp6484.zip". (Assuming you're using Windows XP)
As an alternative, I think that if you turn off "Hardware Acceleration" in the "Display Options/Settings/Advanced" menu then you can use the printscreen button to capture everything on the desktop, including video. Not too sure though.