Thanks Kuroyume! 

I had just done a bit of Googling and found a little tut on how to use Windows Media Player for screen capture:

http://labnol.blogspot.com/2005/11/capture-still-images-from-windows.html

It worked, but the quality wasn't very good.  Also, WMP has a lot of "junk" in the window that you can't get rid of, and the screen shot ended up being a lot smaller than I would have liked.

I use Hot Llama which has the control panel in a seperate window that you can move around and minimize.  The actual window that the movie plays in is free of any extra stuff and I can drag it out to full screen.  So I'm hoping to find something that will allow me to take a screen capture while I'm using the Hot Llama player.

Going to check out your links now.  Thanks again!

"You don't know what we can see
Why don't you tell your dreams to me
Fantasy will set you free." - Steppenwolf