WinDVD and screen captures...

I've been searching through the Memories on here, and I've tried everything, but I can't seem to get it to work.

I have WinDVD 4 on my computer. It came with it. Even the help file says:

WinDVD allows you to take snapshots of your favorite scenes during a movie's play back. The images are automatically stored as bitmaps on your hard drive. To take a screen capture all you have to do is click on the Capture button or press "P" on your keyboard. WinDVD 4 also includes a Capture browser to manage your favorite images. It also includes a rapid-capture capability to easily capture images in a series.


I can hit P all I want, but C:\Documents and Settings\Me\My Documents\My Pictures still doesn't have anything, nor does my clipboard.

Do I need another version of WinDVD or something? Is there some free program that can take screenshots?