Had this problem a while ago but managed to work it out in the end.

On WMP, I take screencaps by pausing the video where I want it and then pressing 'Alt' and 'Print Screen' together- though this obviously takes the whole screen- so you have to clip it later on.

I don't know whether this works on all versions, mine is quite out dated now, but it works for me and is reasonably quick *shrugs*.