Damnit, my internet keeps dying...

Anyway.

If you're using real player, use the menu and go to tools/preferences/hardware. At the bottom you will see a slider which is called video card compatibility, get it from best performance all the way to most reliable. If you've done this, then you will be able to use the printscreen method. (press printscreen>paste in paint/photoshop>edit it>save as)

Basically when you're playing a video file it uses hardware acceleration and it's being played on a different layer so to speak. That's why normally using printscreen in video will just give you a blank image. So in order to get everything playing on the same layer you will have to disable all hardware acceleration. This can be done via windows, but it's easier to do it with the media player itself. Also the trouble with this is that some video files will not play properly without full hardware acceleration.

It's annoying to do this much for just a screen capture, that's why I said to use ctrl-i since I thought you were using WMP. Altough I just tried it again and found out that that doesnt always work either...(dont know why, yet)