Well actually some programs do have Capture Screenshot buttons. Power DVD would be an example of this. Although they usually take tiny crappy screenshots so you arent missing much.

Sometimes all you have to do is turn off hardware acceleration in your player and it will work, that is what I do to get screenshots from non DVD video clips since its not such a safe idea to do it to your whole computer. You could also try to Google this topic as I think there are several discussions on this very topic on many geeky forums.