Get a little program called SnagIt and read the instructions - to grab screen caps from video you'll need to go into (I think) Capture -> Advanced -> DirectX.
Works like a fuckin' charm.
There are also other programs that will do everything you need (convert, edit, screen caps etc.) all-in-one, if you're interested in a cheap one check out Video Edit Magic. A little more expensive (but really PACKED with features) is Pinnacle's Studio 8.
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