Yeah that isn't a bug. In XP at least, at one point I couldn't take a PrintScreen of a video being played to the clipboard. It wouldn't show up. Flash was the same way. It wasn't just WMP, also couldn't capture a frame from PowerDVD. I had to use some sort of capture utility like SnagIt but that only lasted me 30 days. Interestingly enough, Windows 7 has no problem capturing such things.