Videos play using DirectDraw in a different screen buffer to the normal stuff on your screen, so screenshot won't work unless you can either screenshot in this special buffer or force the video to play on the normal screen (which it doesn't do by default because it's slower).

You could force the video onto the normal screen by disabling DirectDraw acceleration in DirectX settings, but a better way is to get a video editor instead and load the file in there - you'll also get more accuracy over eactly which frame you want to pick. I'd recommend VirtualDubMod for video editing.