How to change Window Media file?

A while ago, I posted a question because I was baffled that I couldnt make a caps off an animation I found on the internet. Both Animation Shop3 and VirtualDub doesnt work. (and I'm not wild about downloading more useless/pointless programs that does nothing. lol)

Now... The file itself is Windows Media Audio/Video File. Anyone know of a way to force it to change into any other forms such as Bmp or Jpeg?.