If you try to capture a screen shot while using Windows media player using the conventional 'Print Scr' button approach, you'll find that it doesn't work. Instead of an image of what is shown in the media player, you'll get blankness. If you want to be able to capture images from the media players, here's a hack to do it, it works in Windows media player version 10 but I'm not sure about other versions.

In the media player select Tools from the menu bar, then select Options and select the Performance tab. On this tab, select the Advanced button. On the following page, uncheck the 'Use Overlays' option and then click OK.

Once you make this change, the 'Print Scr' button will now capture screen shots that include the image shown in the Windows media player.