I'm not exactly sure what you are asking for here, but if you want a player that allows you to take screenshots of videos, get BS Player. It's free. And if you want a program to take video capture of windows you want Camtasia Studio. It has a 30 day trial.
You mean of like when you hit Prnt Scrn when windows media player or something is playing and when you paste it later its just a dark area? I was wondering about that too...