How would I go about doing this? I tried HyperSnap to no avail.
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.
vdubmod also allows you to take pics. Just hit prt scr
vdubmod is VirtualDubMod
I downloaded VirtualDubMod but it doesn't seem to open .wmv files. Something to do with Microsoft owning that type of file (there's a suprise).
So basically, do what c_l said and turn off DirectDraw acceleration in your DirectX settings. It always does the trick for me, but make sure to turn it on again once you're finished with your shots.
Where can I find my DirectX settings? I checked through all the WMP options and couldn't find anything in the Help file, either.
Go in you start menu, then run, then type in Dxdiag.
Found an easier way to do it without screwing up your DirectX settings temporarily - use Media Player Classic instead, and in Options > Playback, change the video output to one of the Video Mixing options, then change it back to default or overlay renderer when you're done