Vdub question

I want to make screen captures of this one show, but it's in .wmv format and I cannot open it in Vdub.

Is there anyway to convert .wmv to .avi or something? Or, the oppposite, a way to open .wmv files on Vdub? Or another program I can use?

I've searched the memories but all I can find is a way to convert .ram files to .mpeg files =(. Help?