Screen capping question:

Whenever I try to screen cap something, be it on windows media, quicktime, or any other movie playing software, and I paste it into Photoshop, something very odd happens. The only way I know how to describe it is that it appears as if the screen cap has made a hole in the Photoshop window and I can see the movie playing through it, even though the movie window is behind the Photoshop window. This prevents me from getting a still screen cap. Does anyone know what is happening and/ or how to fix it?