The problem is that video is usually played on what's called an 'overlay', so when you press print-screen, you're capturing everything that's actually on the screen, but the video is being overlayed on top of that inside your video card.
If you're using Media Player, there's a temporary solution, but you lose video performance when it's set this way, so I'd only do it when you're taking screenshots, then set it back when done. But go to the Tools menu, then Options, the over to the Performance tab, and click the Advanced button. In here you'll see a checkbox under Video Acceleration named Use Overlays. Unchecked that, and OK back out of that. You might have to restart Media Player, I don't remember. But now when you play videos, you should be able to grab them using print-screen. Like I said though, I'd suggest setting it back when you're done.
An alternative is to just use a different player program altogether. There's one called Media Player Classic which actually has an option in the File menu to save screenshots directly.
