I find Print Screen doesn't always work - perhaps due to the encoding (DivX)?
Most video is drawn in what's called Overlay mode, meaning that the frames are copied directly into a region of the frame buffer on the video card rather than through GDI. Print Screent (the keyboard button) operates at the GDI level.
That said, many other media players have a special Capture Frame button that is smart enough to go find the frame you're looking for and write it into the clipboard. It's a handy feature.