The printscreen option won't work with moving pictures only stills - because the movie is rendered seperately and is overlaid on what is in effect the background.
and only the background is captured in this way.
make the movie show in a small screen and quickly drag it round the desktop ... the movie will play catchup with the player ....
either look in the help of your existing player - most mainstream players, including media player won't allow copywrite material to be captured.
So try all player 2.4.0
http://www.downloadsource.net/190/ALLPlayer/
it's freeware... and f12 will snapshot whatever is on screen
at the time (save to whatever folder you want)
or
media player classic
http://www.afterdawn.com/software/video_softwa re/video_players/media_player_classic.cfm
I think techsmith's snagit will also do this .... but its not a freebie
and if you want to capture U Tube movies you will need a prog such as FRAPS
or the free
http://www.downtube.kit.net/