Tech advice normally always boils down to getting some new piece of software.
In default mode, you cannot capture a screenshot off WMP:
http://img54.imageshack.us/img54/966...09953ty.th.jpg
Hit Tools > Options > Performance > Advanced
http://img54.imageshack.us/img54/836...10011nc.th.jpg
Then uncheck all of the radio buttons, like so:
http://img54.imageshack.us/img54/271...10028jw.th.jpg http://img480.imageshack.us/img480/4...10066nn.th.jpg
Hit OK > OK > Yes
http://img480.imageshack.us/img480/9...10090rx.th.jpg
Your screenshots will now work just fine:
http://img480.imageshack.us/img480/4...10140zj.th.jpg http://img480.imageshack.us/img480/1...10204vb.th.jpg