Miss The-Gentle...or may I call you Anna?
The ordinary way to make screen captures in Windows -- hitting print screen, then going to your favorite art program and pasting the contents of the clipboard -- won't work.
You just get a black square where the picture is. And this is not some form of copy protection. It's due to a technology called "video overlay" that allows movies to share space with regular programs on your screen.
There are DVD playback programs, such as POWER DVD, that have a screen capture function. Often it is an icon that looks like a camera or a keystroke sequence. These almost invariably save the pictures as BMP files...which have no compression and are HUGE by storage standards. A JPEG image that would store neatly in about 500 K would make a 4 Meg bitmap, EIGHT TIMES as big for an image that most people couldn't tell apart.
So after you do your capturing, you need to load the BMP files in your favorite editor (or the free one that came with windows) and using SAVE AS, pick JPEG so your website won't be overwhelmed and your viewers overtaxed.
To the best of my knowledge, Windows Media Player, REAL Video and Quicktime do not have this feature. I may be wrong about Quicktime Pro but I'm not paying the registration fee just to find out.
Hope that helps.