So, when you try to do a screen grab from Windows media player in Windows XP it goes all wonky. Not sure of the exact reason for this (some driver/acceleration issue), but if you:

1) Get your display settings up (right click on desktop / display settings)
2) Go to the “Display Settings” tab
3) Click ‘advanced’
4) Click the ‘troubleshoot’ tab
5) Drag the slider for graphics acceleration down to zero
6) Hit apply
7) Then run the video and hit ‘alt-print screen’ to capture the content of the media player window…

…and it should work! Don’t forget to drag the slider back up after you’re done or you may get some slowdown / display glitches.