Also if you want to capture a frame from video (ex - what you see on the screen) you can do this in WMP, but you have to make sure to turn off video overlay first.
You can do this in WMP by opening it up and going to Tools menu -> Options -> Performance -> click the Advanced Button, and then turn overlay off.
Any halfway decent video playing program will let you turn overlay off, and some will even let you capture the frame from within the app without turning overlay off.