Screen capping

I'm trying to get screen caps in an attempt to make an animated icon.  I am using PSP7 and Animation shop (oldschool, i know, but I like the programs)

Anyway...

What programs do you all use to cap video?  For example, I downloaded a clip from a show I watch that opens in Winamp.  I can also play it in Windows Media Player.  when I used the PSP capping tool or when I hit print screen and paste as a new image... the box where the video is playing is black.  when I move the pasted image around in PSP and hover over where my media player is below my PSP I can see the picture but if I move it away, it is black.

Is there a way to cap using Winamp or Windows Media Player?  Is there a free program I can download to get caps?

thanks.