Currently their's no feature in WMP for this. I believe Power DVD has it only on the full version (Deluxe). Their should be some programs you can download off the internet from www.download.com
The site provides clean, spyware/virus free programs. Some are free, others are trials/demos.
Well sorry to burst your bubble but by disabling overlays you can screenshot the video feed. It works. And i tried it again just then.
An overlay (default turned on - for computer with a seperate AGP or PCI graphics card) places the video feed ONTOP of the video output of your chipset. By using this process it lessenes the amount of load on the chipset and CPU as it lets the GPU (graphics processing unit) do the work.
You cannot take a screenshot when overlays are enabled as from the processors point of view, the area where the video feed is going to be placed by the GPU is black thus the black square.
Try this, Enable overlays, and then print screen. Paste it in paint (dont close WMP yet!) and then move the paint window around and you will notice the overlay appearing wherever the black square is.