I assume you're using Windows Media Player while taking a screenshot.
I think the easiest way to go about doing it would be to install VLC (http://www.videolan.org/vlc) which has a screenshot option in the menu.
edit:I haven't tried this because I haven't touched WMP in god knows how long, but maybe it will be useful.
QUOTE
In WMP, at least since version 9, you can use Ctrl-I (EYE) to capture a frame, either when playing or when paused for greater accuracy. It brings up a Save Captured Image dialog which handily defaults to a jpeg. This works only if the video you are watching is using a Microsoft supported movie file.